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RATS program to demonstrate bootstrapping with cointegration

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

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

Suggested Citation

  • Tom Doan, "undated". "RATS program to demonstrate bootstrapping with cointegration," Statistical Software Components RTZ00021, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rtz00021
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
    as

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    File URL: https://www.estima.com/procs_perl/bootcointegration.rpf
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