期刊
ECONOMICS LETTERS
卷 72, 期 1, 页码 1-10出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/S0165-1765(01)00410-4
关键词
autoregressive approximation; cointegrating regression; sieve bootstrap
类别
This paper considers the construction of bootstrap hypothesis tests and confidence regions for the parameters of cointegrating regressions. We suggest using a sieve bootstrap scheme based on resampling residuals from an autoregressive approximation to the innovation process driving the cointegrated system. Simulations demonstrate the small-sample effectiveness of this bootstrap method in the case of two commonly used estimators for cointegrating regressions. (C) 2001 Elsevier Science B.V. All rights reserved.
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