Nuisance parameter free inference on cointegration parameters in the presence of a variance shift
| Authors | |
|---|---|
| Publication date | 2010 |
| Journal | Economics Letters |
| Volume | Issue number | 107 | 2 |
| Pages (from-to) | 190-193 |
| Organisations |
|
| 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. |
| Document type | Article |
| Language | English |
| Published at | https://doi.org/10.1016/j.econlet.2010.01.021 |
| Permalink to this page | |