EconPapers    
Economics at your fingertips  
 

The Size and Power of Bootstrap Tests for Linear Restrictions in Misspecified Cointegrating Relationships

Alessandra Canepa () and Raymond O'Brien
Additional contact information
Raymond O'Brien: University of Southampton

No 1807, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

Abstract: This paper considers computer intensive methods for inference on cointegrating vectors in maximum likelihood analysis. It investigates the robustness of LR , Wald tests and an F-type test for linear restrictions on cointegrating space to misspecification on the number of cointegrating relations. In addition, since all the distributional results within the maximum likelihood cointegration model rely on asymptotic considerations, it is important to consider the sensitivity of inference procedures to the sample size. In this paper we use bootstrap hypothesis testing as a way to improve inference for linear restriction on the cointegrating space. We find that the resampling procedure is a very useful device for tests that lack the invariance property such as the Wald test, where the size distortion of the bootstrap test converges to zero even for a sample size T=50. Moreover, it turns out that when the number of cointegrating vectors are correctly specified the bootstrap succeeds where the asymptotic approximation is not satisfactory, that is, for a sample size T

Date: 2000-08-01
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://fmwww.bc.edu/RePEc/es2000/1807.pdf main text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecm:wc2000:1807

Access Statistics for this paper

More papers in Econometric Society World Congress 2000 Contributed Papers from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().

 
Page updated 2021-12-23
Handle: RePEc:ecm:wc2000:1807