Boswijk, H. (2010). Nuisance parameter free inference on cointegration parameters in the presence of a variance shift Economics Letters, 107(2):190--193.
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Affiliated author
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Publication year2010
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JournalEconomics Letters
Kourogenis and Pittis (2008) show that the presence of a variance shift implies that the OLS t-statistic in a triangular cointegrated model displays asymptotic size distortions. For the same model, this paper provides two simple solutions to the size problems, the first based on White (1980) standard errors, the second based on the wild bootstrap.