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자연과학대학
통계학전공
Journal papers
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Stationary bootstrapping for cointegrating regressions
Title
Stationary bootstrapping for cointegrating regressions
Authors
Shin D.W.
;
Hwang E.
Ewha Authors
신동완
;
황은주
SCOPUS Author ID
신동완
; 황은주
Issue Date
2013
Journal Title
Statistics and Probability Letters
ISSN
0167-7152
Citation
Statistics and Probability Letters vol. 83, no. 2, pp. 474 - 480
Indexed
SCIE; SCOPUS
Document Type
Article
Abstract
The validity of stationary bootstrapping is investigated for cointegrating regressions in large samples as well as in finite samples. The bootstrap ordinary least squares estimator (OLSE) is shown to be valid in large samples having the same limiting distribution as the OLSE under a similar normalization. Large sample validity of a bootstrap test regarding cointegration parameters is also established. Finite sample size and power properties of the bootstrap test are investigated via a Monte Carlo experiment. © 2012.
DOI
10.1016/j.spl.2012.10.007
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