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RATS program to demonstrate bootstrapping with cointegration


  • Tom Doan

    () (Estima)


Example 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

Suggested Citation

  • Tom Doan, "undated". "RATS program to demonstrate bootstrapping with cointegration," Statistical Software Components RTZ00021, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rtz00021
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