Bootstrap inference in cointegrating regressions: Traditional and self-normalized test statistics
K Reichold, C Jentsch - Journal of Business & Economic Statistics, 2024 - Taylor & Francis
Traditional tests of hypotheses on the cointegrating vector are well known to suffer from
severe size distortions in finite samples, especially when the data are characterized by large …
severe size distortions in finite samples, especially when the data are characterized by large …
Cointegration without Unit Roots
JA Duffy, JR Simons - arXiv preprint arXiv:2002.08092, 2020 - arxiv.org
It has been known since Elliott (1998) that standard methods of inference on cointegrating
relationships break down entirely when autoregressive roots are near but not exactly equal …
relationships break down entirely when autoregressive roots are near but not exactly equal …