SIZE AND POWER OF THE ERROR-CORRECTION MODEL COINTEGRATION TEST - A BOOTSTRAP APPROACH

The size and power of the ECM cointegration test are investigated by u sing the 'bootstrap critical values'. The purpose of this paper is to show the ability of the bootstrap technique to produce critical values which are much more accurate than the asymptotic ones. The properties of the test have been studied, using Monte Carlo methods, for three d ifferent data generating processes. As regards the size of the test, w e find that the ECM cointegration test together with the bootstrap cri tical values perform better than the ECM cointegration test based on t he asymptotic critical values. While as regards the power of the tests , the results prove to be similar for the different versions.