Bootstrapping cointegrating regressions

Journal of Econometrics

Volumn 133, Issue 2, 2006, Pages 703-739

  Chang, Yoosoon ^a   Park, Joon Y ^a,b   Song, Kevin ^c  

^a RICE UNIVERSITY   (United States)

^b Sungkyunkwan University   (South Korea)

^c YALE UNIVERSITY   (United States)

Author keywords

AR approximation; Cointegrating regression; Efficient estimation and hypothesis testing; Sieve bootstrap

Indexed keywords

APPROXIMATION THEORY; COMPUTATION THEORY; MONTE CARLO METHODS; PARAMETER ESTIMATION; STATISTICAL METHODS; VECTORS;

AR APPROXIMATION; COINTEGRATING REGRESSION; EFFICIENT ESTIMATION AND HYPOTHESIS TESTING; SIEVE BOOTSTRAP;

REGRESSION ANALYSIS;

EID: 33745899959     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.06.011     Document Type: Article

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