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 … the corresponding parameter esti- mates taken across a large number of auxiliary bootstrap replications. A number of …

novel bootstrap, which we show to be valid under general conditions, irrespective of the presence of (unknown) nuisance … parameters on the boundary. That is, the new bootstrap replicates the unknown limiting distribution of the likelihood ratio … statistic under the null hypothesis and is bounded (in probability) under the alternative. The new bootstrap approach, which is …

In this paper we discuss the general application of the bootstrap as a tool for statistical inference in econometric … time series models. We do this by considering the implementation of bootstrap inference in the class of double … bootstrap to time series: first, standard asymptotic inference is usually difficult to implement due to the presence of nuisance …

propose wild bootstrap implementations of the co-integrating rank tests and demonstrate that the associated bootstrap rank … corresponding rank tests based on the i.i.d. bootstrap of Swensen (2006). The wild bootstrap, however, has the important property … that, unlike the i.i.d. bootstrap, it preserves in the re-sampled data the pattern of heteroskedasticity present in the …