Journal
STATISTICS & PROBABILITY LETTERS
Volume 83, Issue 2, Pages 474-480Publisher
ELSEVIER
DOI: 10.1016/j.spl.2012.10.007
Keywords
Cointegrating regression; Stationary bootstrapping
Categories
Funding
- National Research Foundation of Korea [NRF-2009-0084772, NRF-2009-0070618]
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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. (C) 2012 Published by Elsevier B.V.
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