Estimating cointegration parameters: an application of the double bootstrap

Journal of Statistical Planning and Inference

Volumn 43, Issue 1-2, 1995, Pages 147-156

  Vinod, H D ^a   McCullough, B D ^a  

^a FORDHAM UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0008021669     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/0378-3758(94)00015-N     Document Type: Article

References (30)

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3. Estimation of Long Run Coefficients in Error Correction Models
4. Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
5. Refining Bootstrap Simultaneous Confidence Sets
6. Interpreting cointegrated models
7. Cointegration and Tests of Purchasing Power Parity
8. ARIMA and cointegration tests of purchasing power parity under fixed and flexible exchange rate regimes
9. Bootstrap Methods: Another Look at the Jackknife
10. The jackknife, bootstrap, and other resampling plans
11. Better Bootstrap Confidence Intervals
12. Bootstrap Methods for Standard Errors, Confidence Intervals, and Other Measures of Statistical Accuracy
13. Co-Integration and Error Correction: Representation, Estimation, and Testing
14. Forecasting and testing in co-integrated systems
15. Bootstrapping a Regression Equation: Some Empirical Results
16. Spurious regression in econometrics
17. Econ modelling with cointegrated variables: an overview
18. Cointegration and Error Correction Mechanisms
19. A Survey of Some Recent Econometric Methods
20. Understanding spurious regressions in econometrics
21. Time Series Regression with a Unit Root
22. Multiple Time Series Regression with Integrated Processes
23. Approximate tests of correlation in time series
24. Inference in Linear Time Series Models with some Unit Roots
25. Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
26. Integrated regressors and tests of the Permanent income hypothesis
27. Bootstrap, jackknife resampling and simulation methods: applications in econometrics