Bootstrapping cointegrating regressions
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- Tom Doan, "undated". "RATS program to demonstrate bootstrapping with cointegration," Statistical Software Components RTZ00021, Boston College Department of Economics.
References listed on IDEAS
- Park, Joon Y, 1992. "Canonical Cointegrating Regressions," Econometrica, Econometric Society, vol. 60(1), pages 119-143, January.
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- King, M.L. & Giles, D.E.A., 1984. "Autocorrelation pre-testing in the linear model: Estimation, testing and prediction," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 35-48.
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- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
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- Hall, P. & Horowitz, J.L., 1993. "Corrections and Blocking Rules for the Block Bootstrap with Dependent Data," Working Papers 93-11, University of Iowa, Department of Economics.
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