Alternative bootstrap procedures for testing cointegration in fractionally integrated processes

摘要

This paper considers alternative methods of testing cointegration in fractionally integrated processes, using the bootstrap. The investigation focuses on (a) choice of statistic, (b) use of bias correction techniques, and (c) designing the simulationof the null hypothesis. Three residual-based tests ate considered, two of the null hypothesis of non-cointegration, the third of the null hypothesis that cointegration exists. The tests are compared in Monte Carlo experiments to throw light on the relative roles of issues (a)-(c) in test performance.