Boswijk, H. Peter - In: Economics Letters 107 (2010) 2, pp. 190-193
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)...