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.
Bootstrap inference on Fully Modified Estimates of Cointegrating Coefficients: A Comment / Fachin, Stefano. - In: ECONOMICS BULLETIN. - ISSN 1545-2921. - ELETTRONICO. - 3:(2004), pp. 1-8.
Bootstrap inference on Fully Modified Estimates of Cointegrating Coefficients: A Comment
FACHIN, Stefano
2004
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.File allegati a questo prodotto
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