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

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Author Info
Stefano Fachin () (University of Rome "La Sapienza")

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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.

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File URL: http://www.economicsbulletin.com/2004/volume3/EB-04C20015A.pdf
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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 3 (2004)
Issue (Month): 13 ()
Pages: 1-8
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ebl:ecbull:v:3:y:2004:i:13:p:1-8

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Related research
Keywords: bootstrap; Cointegration; FMOLS;

Find related papers by JEL classification:
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
C5 - Mathematical and Quantitative Methods - - Econometric Modeling

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Omtzigt Pieter & Fachin Stefano, 2002. "Bootstrapping and Bartlett corrections in the cointegrated VAR model," Economics and Quantitative Methods qf0212, Department of Economics, University of Insubria. [Downloadable!]
  2. Peter C.B. Phillips & Bruce E. Hansen, 1988. "Statistical Inference in Instrumental Variables," Cowles Foundation Discussion Papers 869R, Cowles Foundation, Yale University, revised Apr 1989. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Di Iorio, Francesca & Fachin, Stefano, 2007. "Testing for cointegration in dependent panels via residual-based bootstrap methods," MPRA Paper 3139, University Library of Munich, Germany, revised 11 Dec 2008. [Downloadable!]
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This page was last updated on 2009-11-16.

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