Bootstrapping cointegrating regressions |
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Authors: | Hongyi Li G.S. Maddala |
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Affiliation: | aDepartment of Decision Sciences and Managerial Economics, Faculty of Business Administration, Chinese University of Hong Kong, Hong Kong;bDepartment of Economics, The Ohio State University, Columbus, OH 43210, USA |
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Abstract: | The paper investigates the usefulness of bootstrap methods for small sample inference in cointegrating regression models. It discusses the standard bootstrap, the recursive bootstrap, the moving block bootstrap and the stationary bootstrap methods. Some guidelines for bootstrap data generation and test statistics to consider are provided and some simulation evidence presented suggests that the bootstrap methods, when properly implemented, can provide significant improvement over asymptotic inference. |
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Keywords: | Nonstationary time series Small sample bias Size distortion Moving block bootstrap Stationary bootstrap |
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