In a recent paper Cavaliere et al. (2012) develop bootstrap implementations of the (pseudo-) likelihood ratio (PLR) co-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed using the restricted parameter estimates...

It is well known that the standard independent, identically distributed (iid) bootstrap of the mean is inconsistent in a location model with infinite variance (α-stable) innovations. This occurs because the bootstrap distribution of a normalised sum of infinite variance random variables tends...

A number of recent papers have focused on the problem of testing for a unit root in the case where the driving shocks may be unconditionally heteroskedastic. These papers have, however, taken the lag length in the unit root test regression to be a deterministic function of the sample size,...