[Gretl-users] Re: Small-sample Johansen coint. rank tests - wild bootstrap and serial correlation

Am 07.04.2024 um 11:38 schrieb lars.ahnland(a)outlook.com: Hi Lars, co-author of the johansensmall package here. The simple answer is: no, this is a "plain" wild bootstrap. The longer-term plan is to re-use resampling code that allows also other variants. That more general code partly lives in the "SVAR" addon and/or in the "extra" addon. But this hasn't happened yet. Apart from that, the best solution of course is to capture the serial correlation in the VAR model itself. If this doesn't work (and I know it often doesn't in practice), then I wouldn't be very confident about healing the problem with a certain bootstrap variant, to be honest. But I admit this depends on the context and application. cheers sven