On bootstrap inference in cointegrating regressions (Q5941113)

This paper considers the construction of bootstrap hypothesis tests and confidence regions for the parameters of cointegrating regressions. We suggest to use a sieve bootstrap scheme based on resampling residuals from an autoregressive approximation to the innovation process driving the cointegrated system. Simulations demonstrate the small-sample effectiveness of this bootstrap method in the case of two commonly used estimators for cointegrating regressions.