Nuisance parameter free inference on cointegration parameters in the presence of a variance shift

C-Tier
Journal: Economics Letters
Year: 2010
Volume: 107
Issue: 2
Pages: 190-193

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:107:y:2010:i:2:p:190-193
Journal Field
General
Author Count
1
Added to Database
2026-01-24