Bootstrapping cointegrating regressions

By Yoosoon Chang, Joon Y. Park, K. Song. 2006

139 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/101464b540ab3a6668a8edb1b016b7da3841bfd9

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In Economics and Econometrics

Citations in the corpus

Panel cointegration tests of the Fisher effect (2006, methodology): “24 The particular bootstrap opted for this section is taken from Chang et al. (2006), who propose a sieve resampling scheme that preserves the serial correlation properties of the errors, and that can be generalized along the lines of Smith et al. (2004) to also accommodate cross-sectional…”
Unit Root Quantile Autoregression Inference (2004, background): “In later work, Chang, Park, and Song (2001) developed a multivariate bootstrap invariance principle.”
DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION (2008, methodology): “so-called leads and lags, or dynamic ordinary least squares (OLS) estimator, proposed by Saikkonen (1991) and Stock and Watson (1993). This estimator is obtained by augmenting the static cointegrating regression with leads and lags of the first differences of the 1(1) regressors.”
Bootstrapping the autoregressive distributed lag test for cointegration (2018, methodology): “Papers that use the residual-based bootstrap method in cointegrating regressions include Li and Xiao (2000), Harris and Judge (1998) and Chang, Park, and Song (2006).”
Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects (2005, methodology): “<Table 2 goes here> The estimation precision is assessed by employing the bootstrap method suggested by Li and Maddala (1997). In order not to distort the dynamic properties of the cointegrated system we choose to bootstrap from the residuals of our estimated VEC”
The Continuing Puzzle of Short Horizon Exchange Rate Forecasting (2008, background): “For further discussion of cointegration and bootstrapping see Li and Maddala (1997) and Maddala and Kim (1998, pp. 333-336).”