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

Stefano Fachin ()

Economics Bulletin, 2004, vol. 3, issue 13, pages 1-8

Abstract: 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.

Keywords: bootstrap; Cointegration; FMOLS (search for similar items in EconPapers)
JEL-codes: C2 C5 (search for similar items in EconPapers)
Date: 2004 Written
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