We analyse the properties of the conventional Gaussian-based co-integrating rank tests of Johansen (1996) in the case where the vector of series under test is driven by globally stationary, conditionally heteroskedastic (martingale difference) innovations. We first demonstrate that the limiting...

This paper proposes the use of the bootstrap when the system Wald test is employed to test for linear restrictions in a stationary vector autoregressive (VAR) model. The bootstrap test is conducted using the generalized least square estimator for VAR parameters, which takes account of...

In this paper we analyse some bootstrap techniques to make inference in INAR(p) models. First of all, via Monte Carlo experiments we compare the performances of these methods when estimating the thinning parameters in INAR(p) models. We state the superiority of sieve bootstrap approaches on...