Bootstrap tests for time varying cointegration
提出了时变协整检验的两种Bootstrap方法（wild和i.i.d.参数Bootstrap），蒙特卡洛模拟显示wild Bootstrap有限样本表现准确，应用于12个OECD国家的购买力平价假说检验，仅发现美英关系存在恒定长期均衡。
This article proposes wild and the independent and identically distibuted (i.i.d.) parametric bootstrap implementations of the time-varying cointegration test of Bierens and Martins (2010 Bierens, H. J., Martins, L. F. (2010). Time varying cointegration. Econometric Theory 26:1453–1490.[Crossref], [Web of Science ®] , [Google Scholar]). The bootstrap statistics and the original likelihood ratio test share the same first-order asymptotic null distribution. Monte Carlo results suggest that the bootstrap approximation to the finite-sample distribution is very accurate, in particular for the wild bootstrap case. The tests are applied to study the purchasing power parity hypothesis for twelve Organisation for Economic Cooperation and Development (OECD) countries and we only find evidence of a constant long-term equilibrium for the U.S.–U.K. relationship.