Cavaliere, Giuseppe; Taylor, A. M. Robert; Trenkler, Carsten - Abteilung für Volkswirtschaftslehre, Universität Mannheim - 2013
In this paper we investigate bootstrap-based methods for bias-correcting the first-stage parameter estimates used in some recently developed bootstrap implementations of the co-integration rank tests of Johansen (1996). In order to do so we adapt the framework of Kilian (1998) which estimates...