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Stefano Fachin
 
'' Bootstrap inference on Fully Modified Estimates of Cointegrating Coefficients: A Comment''
( 2004, Vol. 3 No.13 )
 
 
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.
 
 
Keywords:
JEL: C2 - Single Equation Models; Single Variables: General
C5 - Econometric Modeling: General
 
Manuscript Received : Jan 20 2004 Manuscript Accepted : May 01 2004

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