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Query: faculty: "FEB" and publication year: "2003"

AuthorsP.H. Omtzigt, S. Fachin
TitleBootstrapping and Bartlett corrections in the cointegrated VAR model
PublisherDepartment of Quantitative Economics
PlaceAmsterdam
Year2003
Title seriesUvA Econometrics Discussion Paper
Series number2002/15
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractThe small sample properties of tests on long-run coefficients in cointegrated systems are still a matter of concern to applied econometricians. We compare the performance of the Bartlett correction, the bootstrap and the fast double bootstrap for tests on ccointegration parameters in the maximum likelihood framework. We show by means of a theoretical result and simulations that all three procedures should be based on the unrestricted estimate of the cointegration vectors. The fast double bootstrap delivers superior size correction, whereas the Bartlett correction leads to the least loss of power. However all three perform much better than the asymptotic tests and difference between them are small.
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