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