Bootstrapping Time Series Regressions with Integrated Processes

Hongyi Li () and Zhijie Xiao

Journal of Time Series Analysis, 2001, vol. 22, issue 4, 461-480

Abstract: This paper studies the bootstrap procedures for time series regressions with integrated processes. Both estimation and hypothesis testing are studied. It is shown that the suggested bootstrap approximations to the distribution of the least squares estimator and the regression test statistic are asymptotically valid. A Monte Carlo experiment is conducted to evaluate the finite sample performance of these bootstrap procedures. The simulation results indicate that the bootstrap method provides reasonably good approximation to the distribution of the least squares estimator, and gives proper size and satisfactory power.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:22:y:2001:i:4:p:461-480

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