Bootstrap inference on Fully Modified Estimates of Cointegrating Coefficients: A Comment
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.
Volume (Year): 3 (2004)
Issue (Month): 13 ()
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