Bootstrap cointegration tests in ARDL models

Stefano Bertelli, Gianmarco Vacca, Maria Zoia*

*Autore corrispondente per questo lavoro

Risultato della ricerca: Contributo in rivistaArticolo in rivista


The paper proposes a new bootstrap approach to Pesaran, Shin, and Smith’s bound tests in a conditional equilibrium correction model to overcome some typical drawbacks of the latter, such as inconclusive inference and distortion in size. The bootstrap tests are worked out under several data-generating processes, including degenerate cases. Monte Carlo simulations confirm the better performance of the bootstrap tests relative to bound ones and the asymptotic F test on the independent variables of the autoregressive distributed lag, or ARDL, model. Empirical applications highlight the importance of employing the appropriate specification and provide definitive answers to the inconclusive inference of the bound tests when exploring the long-term equilibrium relationship between economic variables.
Lingua originaleEnglish
pagine (da-a)105987-N/A
Numero di pagine15
RivistaEconomic Modelling
Stato di pubblicazionePubblicato - 2022


  • Autoregressive distributed lag model
  • Bootstrap
  • Bound test
  • Cointegration Error-correction model


Entra nei temi di ricerca di 'Bootstrap cointegration tests in ARDL models'. Insieme formano una fingerprint unica.

Cita questo