Stationary bootstrapping for cointegrating regressions

Dong Wan Shin, Eunju Hwang

Research output: Contribution to journalArticlepeer-review

5 Scopus citations


The validity of stationary bootstrapping is investigated for cointegrating regressions in large samples as well as in finite samples. The bootstrap ordinary least squares estimator (OLSE) is shown to be valid in large samples having the same limiting distribution as the OLSE under a similar normalization. Large sample validity of a bootstrap test regarding cointegration parameters is also established. Finite sample size and power properties of the bootstrap test are investigated via a Monte Carlo experiment.

Original languageEnglish
Pages (from-to)474-480
Number of pages7
JournalStatistics and Probability Letters
Issue number2
StatePublished - Feb 2013


  • Cointegrating regression
  • Stationary bootstrapping


Dive into the research topics of 'Stationary bootstrapping for cointegrating regressions'. Together they form a unique fingerprint.

Cite this