On bootstrapping regressions with unit root processes

Hongyi Li () and Zhijie Xiao

Statistics & Probability Letters, 2000, vol. 48, issue 3, 261-267

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.

Keywords: Bootstrap; Cointegration; Unit; root; process (search for similar items in EconPapers)
Date: 2000
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