Bootstrap inference on Fully Modified Estimates of Cointegrating Coefficients: A Comment

A bootstrap algorithm proposed by Psaradakis (2001) for hypothesis testing in I(1) regressions is discussed and shown to be valid only under the null hypothesis. A simple correction making the procedure valid under both the null and the alternative hypothesis is proposed.

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Year of publication:	2004-05-01
Authors:	Fachin, Stefano
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2004, 13, p. 1-8
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Classification:	C2 - Econometric Methods: Single Equation Models ; C5 - Econometric Modeling
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010629363