A forum for questions and answers regarding the CATS cointegration procedure
In CATS it's possible to simulate the rank test distribution if levels shifts etc. are included. Is this a bootstrap or is there a difference between simulation an bootstrapping.
Sorry for that "beginnners"-question..
Thanks for your help!
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It's a simulation. The bootstrap resamples either the actual data or (more typically in econometrics) some aspect of it like residuals. This does fully random simulations of the data assuming Normal residuals.
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