RATS program to demonstrate bootstrapping with cointegration

Tom Doan ()

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 5.00
Keywords: Bootstrapping; cointegration; FMOLS; fully modified least squares (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/bootcointegration.rpf (text/plain)

Related works:
Journal Article: Bootstrapping cointegrating regressions (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00021

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