BOOTCOINTEGRATION: RATS program to demonstrate bootstrapping with cointegration

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

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

Language: RATS
Requires: RATS 11.00
Keywords: Bootstrapping; cointegration; FMOLS; fully modified least squares (search for similar items in EconPapers)
Date: 2026-01-02
Note: An RPRJ is a specialized zip file including one or more program files and data files. See https://estima.com/ratsfiletypes.shtml
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Downloads: (external link)
https://estima.com/procedures/bootcointegration.rprj (application/zip)

Related works:
Journal Article: Bootstrapping cointegrating regressions (1997)
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