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Bootstrapping cointegrating regressions

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  • Li, Hongyi
  • Maddala, G. S.

Abstract

Example of bootstrapping an FMOLS estimate of cointegrating vectors. Based upon the technique described in Li and Maddala, "Bootstrapping cointegrating regressions", J. of Econometrics 80 (1997) pp 297-318
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Suggested Citation

  • Li, Hongyi & Maddala, G. S., 1997. "Bootstrapping cointegrating regressions," Journal of Econometrics, Elsevier, vol. 80(2), pages 297-318, October.
    • Handle: RePEc:eee:econom:v:80:y:1997:i:2:p:297-318
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    References listed on IDEAS

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