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Economics Letters 72 (2001) 1–10 /locate/econbase On bootstrap inference in cointegrating regressions Zacharias Psaradakis* Birkbeck College, University of London, School of Economics, Mathematics and Statistics, 7 – 15 Gresse Street, London W 1P 2LL, UK Received 11 September 2000; accepted 21 December 2000 Abstract This paper considers the construction of bootstrap hypothesis tests and confidence regions for the parameters of cointegrating regressions. We suggest using a sieve bootstrap scheme based on resampling residuals from an autoregressive approximation to the innovation process driving the cointegrated system. Simulations demon- strate the small-sample effectiveness of this bootstrap method in the case of two commonly used estimators for cointegrating regressions.  2001 Elsevier Science B.V. All rights reserved. Keywords : Autoregressive approximation; Cointegrating regression; Sieve bootstrap JEL classification : C12; C22 1. Introduction This paper addresses the problem of inference in cointegrating regressions involving I(1) variables. The coefficients of such regressions may be estimated by a variety of different methods which produce estimators that are asymptotically mixed Gaussian and median unbiased and which allow inference to be carried out using asymptotic normal or chi-squared test criteria (see, inter alia, Phillips and Hansen, 1990; Saikkonen, 1991; Park, 1992; Stock and Watson, 1993; Pesaran and Shin, 1999). Monte Carlo studies have revealed, however, that conventional large-sample theory often provides poo