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.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.