data in that period. To calculate asymptotically valid confidence intervals we use the delta method and two bootstrap …

power gains of the bootstrap LR test are significantly larger for testing the hypothesis of common trends and cointegration …The paper considers likelihood ratio (LR) tests of stationarity, common trends and cointegration for multivariate time … series. As the distribution of these tests is not known, a bootstrap version is proposed via a state space representation …

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 …

size distortions in conventional cointegration tests, which may be resolved using the wild bootstrap, as shown by Cavaliere … and depends on the volatility process; we show that various bootstrap implementations may be used to conduct …