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

Author

Listed:
  • Stefano Fachin

    (University of Rome "La Sapienza")

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.

Suggested Citation

  • Stefano Fachin, 2004. "Bootstrap inference on Fully Modified Estimates of Cointegrating Coefficients: A Comment," Economics Bulletin, AccessEcon, vol. 3(13), pages 1-8.
    • Handle: RePEc:ebl:ecbull:eb-04c20015
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    File URL: http://www.accessecon.com/pubs/EB/2004/Volume3/EB-04C20015A.pdf
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    Cited by:

    1. Di Iorio, Francesca & Fachin, Stefano, 2007. "Cointegration testing in dependent panels with breaks," MPRA Paper 3139, University Library of Munich, Germany.
    2. 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 (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-18.

    More about this item

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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