Bootstrap likelihood ratio tests of cointegration rank are commonly used because they tend to have rejection probabilities that are closer to the nominal level than the rejection probabilities of asymptotic tests. The effect of bootstrapping the test on its power is largely unknown. We show that...

The likelihood ratio test of cointegration rank is the most widely used test for cointegration. Many studies have shown that its finite sample distribution is not well approximated by the limiting distribution. The article introduces and evaluates by Monte Carlo simulation experiments bootstrap...

The small-sample performance of alternatives to the usual likelihood ratio test in mixed linear models is investigated. Specifically, the following tests for fixed effects are considered: (i) a bootstrap-based test, (ii) the Bartlett-corrected usual test, and (iii) an adjusted profile likelihood...

The Birnbaum–Saunders distribution is useful for modeling reliability data. In this paper we obtain adjusted profile maximum likelihood estimators for the Birnbaum–Saunders distribution shape parameter under type II data censoring. We consider the adjustments to the profile likelihood...

Bootstrap likelihood ratio tests of cointegration rank are commonly used because they tend to have rejection probabilities that are closer to the nominal level than the rejection probabilities of the correspond- ing asymptotic tests. The e¤ect of bootstrapping the test on its power is largely...