| Authors |
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| Publication date |
2008
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| Series |
UvA-Econometrics Discussion Papers, 2008/03
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| Number of pages |
8
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| Publisher |
Amsterdam: University of Amsterdam
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| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
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| Abstract |
Kourogenis and Pittis (2008) show that the presence of a variance shift implies that the OLS t-statistic in a triangular cointegrated model displays asymptotic size distortions. For the same model, this paper provides two simple solutions to the size problems, the first based on White (1980) standard errors, the second based on the wild bootstrap.
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| Document type |
Working paper
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| Published at |
http://www1.fee.uva.nl/pp/bin/927fulltext.pdf
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