Abstract
Several asymptotic procedures have been suggested for inference on cointegrating parameters. But the tests based on asymptotic theory have been found to have substantial size distortions. The present paper shows that the bootstrap method gives the proper test sizes and that the power of the bootstrap based tests is satisfactory.
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Li, H. The power of bootstrap based tests for parameters in cointegrating regressions. Statistical Papers 41, 197–210 (2000). https://doi.org/10.1007/BF02926103
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DOI: https://doi.org/10.1007/BF02926103