Nuisance parameter free inference on cointegration parameters in the presence of a variance shift

Kourogenis and Pittis (2008) show that the presence of a variance shift implies that the OLS t-statistic in a triangular cointegrated model displays asymptotic size distortions. For the same model, this paper provides two simple solutions to the size problems, the first based on White (1980) standard errors, the second based on the wild bootstrap.

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Year of publication:	2010
Authors:	Boswijk, H. Peter
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 107.2010, 2, p. 190-193
Publisher:	Elsevier
Keywords:	Cointegration Heteroskedasticity Variance shifts Wild bootstrap

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008551307