The power of bootstrap based tests for parameters in cointegrating regressions |
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| Authors: | Hongyi Li |
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| Institution: | (1) Department of Decision Sciences Faculty of Business Administration, The Chinese University of Hong Kong, Shatin, NT, Hong Kong |
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| 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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| Keywords: | Cointegration bootstrap nonstationary time series test power |
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