On bootstrapping regressions with unit root processes

This paper studies the bootstrap procedures for time-series regressions with unit root processes. It is shown that the suggested bootstrap approximation to the distribution of least-squares estimator is asymptotically valid. Simulation results indicate that the bootstrap method provides reasonably good approximation to the distribution of the least-squares estimator.

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Year of publication:	2000
Authors:	Li, Hongyi ; Xiao, Zhijie
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 48.2000, 3, p. 261-267
Publisher:	Elsevier
Subject:	Bootstrap Cointegration Unit root process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319258