Shin, Dong Wan; Hwang, Eunju - In: Statistics & Probability Letters 83 (2013) 2, pp. 474-480
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...