• Title of article

    Frequency domain bootstrap for the fractional cointegration regression

  • Author/Authors

    Margherita Gerolimetto، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2006
  • Pages
    6
  • From page
    389
  • To page
    394
  • Abstract
    In this paper a bootstrap approach in the frequency domain is proposed to compute the empirical distribution of the Narrow Band Least Squares Estimator [Robinson, P.M., 1994. Semiparametric analysis of long memory time series. The Annals of Statistics 22, 515–539.] of the fractional cointegration parameter. A Monte Carlo experiment illustrates the finite sample performance.
  • Keywords
    Bootstrap methods , frequency domain , Fractional cointegration
  • Journal title
    Economics Letters
  • Serial Year
    2006
  • Journal title
    Economics Letters
  • Record number

    435948

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=435948