The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors

Pieter Omtzigt () and Stefano Fachin

Econometric Reviews, 2006, vol. 25, issue 1, 41-60

Abstract: In this paper we compare Bartlett-corrected, bootstrap, and fast double bootstrap tests on maximum likelihood estimates of cointegration parameters. The key result is that both the bootstrap and the Bartlett-corrected tests must be based on the unrestricted estimates of the cointegrating vectors: procedures based on the restricted estimates have almost no power. The small sample size bias of the asymptotic test appears so severe as to advise strongly against its use with the sample sizes commonly available; the fast double bootstrap test minimizes size bias, while the Bartlett-corrected test is somehow more powerful.

Keywords: Bartlett correction; Bootstrap; Cointegration; Fast double bootstrap (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (15)

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DOI: 10.1080/07474930500545439

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