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On bootstrapping regressions with unit root processes

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  • Li, Hongyi
  • Xiao, Zhijie

Abstract

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.

Suggested Citation

  • Li, Hongyi & Xiao, Zhijie, 2000. "On bootstrapping regressions with unit root processes," Statistics & Probability Letters, Elsevier, vol. 48(3), pages 261-267, July.
    • Handle: RePEc:eee:stapro:v:48:y:2000:i:3:p:261-267
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    References listed on IDEAS

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