Asymptotic likelihood analysis of cointegration in <italic>I</italic> (2) models (see Johansen, 1997, 2006; Boswijk, 2000; Paruolo, 2000) has shown that inference on most parameters is mixed normal, implying hypothesis test statistics with an asymptotic <italic>χ</italic>² null distribution. The asymptotic distribution of the...

In this paper we propose a bootstrap version of the Wald test for cointegration in a single-equation conditional error correction model. The multivariate sieve bootstrap is used to deal with dependence in the series. We show that the introduced bootstrap test is asymptotically valid. We also...