Bootstrap inference on Fully Modified Estimates of Cointegrating Coefficients: A Comment
AbstractA 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.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 3 (2004)
Issue (Month): 13 ()
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- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
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- Di Iorio, Francesca & Fachin, Stefano, 2012.
"A note on the estimation of long-run relationships in panel equations with cross-section linkages,"
Economics - The Open-Access, Open-Assessment E-Journal,
Kiel Institute for the World Economy, vol. 6(20), pages 1-18.
- Di Iorio, Francesca & Fachin, Stefano, 2012. "A note on the estimation of long-run relationships in panel equations with cross-section linkages," Economics Discussion Papers 2012-1, Kiel Institute for the World Economy.
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