Bootstrapping cointegrating regressions
AbstractExample of bootstrapping an FMOLS estimate of cointegrating vectors. Based upon the technique described in Li and Maddala, "Bootstrapping cointegrating regressions", J. of Econometrics 80 (1997) pp 297-318
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 80 (1997)
Issue (Month): 2 (October)
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Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- Tom Doan, . "RATS program to demonstrate bootstrapping with cointegration," Statistical Software Components RTZ00021, Boston College Department of Economics.
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