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Stationary bootstrapping for cointegrating regressions

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  • Shin, Dong Wan
  • Hwang, Eunju
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    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.

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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 83 (2013)
    Issue (Month): 2 ()
    Pages: 474-480

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    Handle: RePEc:eee:stapro:v:83:y:2013:i:2:p:474-480

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    Related research

    Keywords: Cointegrating regression; Stationary bootstrapping;

    References

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    1. Seo, Myunghwan, 2006. "Bootstrap testing for the null of no cointegration in a threshold vector error correction model," Journal of Econometrics, Elsevier, Elsevier, vol. 134(1), pages 129-150, September.
    2. Anders Rygh Swensen, 2006. "Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models -super-1," Econometrica, Econometric Society, Econometric Society, vol. 74(6), pages 1699-1714, November.
    3. Westerlund, Joakim & Edgerton, David L., 2007. "A panel bootstrap cointegration test," Economics Letters, Elsevier, vol. 97(3), pages 185-190, December.
    4. Joon Y. Park, 2003. "Bootstrap Unit Root Tests," Econometrica, Econometric Society, Econometric Society, vol. 71(6), pages 1845-1895, November.
    5. Parker, Cameron & Paparoditis, Efstathios & Politis, Dimitris N., 2006. "Unit root testing via the stationary bootstrap," Journal of Econometrics, Elsevier, Elsevier, vol. 133(2), pages 601-638, August.
    6. Franz C. Palm & Stephan Smeekes & Jean-Pierre Urbain, 2008. "Bootstrap Unit-Root Tests: Comparison and Extensions," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(2), pages 371-401, 03.
    7. Hwang, Eunju & Shin, Dong Wan, 2012. "Strong consistency of the stationary bootstrap under ψ-weak dependence," Statistics & Probability Letters, Elsevier, Elsevier, vol. 82(3), pages 488-495.
    8. Yoosoon Chang, 2000. "Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency," Econometric Society World Congress 2000 Contributed Papers 1585, Econometric Society.
    9. Dimitris Politis & Halbert White, 2004. "Automatic Block-Length Selection for the Dependent Bootstrap," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 23(1), pages 53-70.
    10. Eunju Hwang & Dong Wan Shin, 2011. "Stationary bootstrapping for non‐parametric estimator of nonlinear autoregressive model," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 292-303, 05.
    11. Paparoditis, Efstathios & Politis, Dimitris N., 2005. "Bootstrapping Unit Root Tests for Autoregressive Time Series," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 100, pages 545-553, June.
    12. Atsushi Inoue & Lutz Kilian, 2000. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometric Society World Congress 2000 Contributed Papers 0401, Econometric Society.
    13. Yoosoon Chang & Joon Y. Park, 2003. "A Sieve Bootstrap For The Test Of A Unit Root," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(4), pages 379-400, 07.
    14. Anders Rygh Swensen, 2003. "Bootstrapping unit root tests for integrated processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(1), pages 99-126, 01.
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