Premium
Bootstrapping Time Series Regressions with Integrated Processes
Author(s) -
Li Hongyi,
Xiao Zhijie
Publication year - 2001
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00235
Subject(s) - mathematics , bootstrapping (finance) , estimator , series (stratigraphy) , monte carlo method , statistics , bootstrap aggregating , test statistic , statistic , sampling distribution , statistical hypothesis testing , econometrics , paleontology , biology
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.