In this paper we investigate bootstrap-based methods for bias-correcting the first-stage parameter estimates used in … some recently developed bootstrap implementations of the co-integration rank tests of Johansen (1996). In order to do so we … the corresponding parameter esti- mates taken across a large number of auxiliary bootstrap replications. A number of …

To what extent can the bootstrap be applied to conditional mean models â€" such as regression or time series models â … financial time series displays persistent changes and possible non-stationarity. However, the theory of the bootstrap for such … validity of the bootstrap when the volatility is driven by a non-stationary stochastic process. This includes near …

In this paper we investigate bootstrap-based methods for bias-correcting the first-stage parameter estimates used in … some recently developed bootstrap implementations of the co-integration rank tests of Johansen (1996). In order to do so we … the corresponding parameter esti- mates taken across a large number of auxiliary bootstrap replications. A number of …

To what extent can the bootstrap be applied to conditional mean models | such as regression or time series models … financial time series displays persistent changes and possible non-stationarity. However, the theory of the bootstrap for such … validity of the bootstrap when the volatility is driven by a non-stationary stochastic process. This includes near …