Correcting Errors: Assessing the long-run multiplier and bootstrap-based tests for cointegration

• In Event: Forecasting and Time Series

Brief Overview

The discipline continues to innovate tools for cointegration, but techniques have been presented with no advice on their comparative performance. We put two approaches—never jointly assessed—in conversation, with attention to power and size.

Authors

• Soren Jordan, Texas A&M University

• Andrew Q Philips, University of Colorado