Bootstrap algorithms for testing and determining the cointegration rank in VAR models

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Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility (2010, unknown): “…the wild bootstrap scheme is required, rather than the standard residual re-sampling schemes used for other bootstrap co-integration tests proposed in the literature; see, e.g., Swensen (2006) and, in the univariate case, Inoue and Kilian (2002), Paparoditis and Politis (2003), Park (2003).”
The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study (2009, methodology): “Therefore, using either finite sample critical values in the spirit of Im, Pesaran, and Shin (2003) or resorting to bootstrap inference as laid out for the time series case in Park (2002) and in Swensen (2006) for VAR systems may lead to improved performance.”
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models (2014, methodology): “…of times the bootstrap algorithms fail to generate I(1) samples, hence violating the root check conditions (either step (ii) in Algorithm 1 or step (iii) in Algorithm 1 of Swensen, 2006, as appropriate).5 It can be observed that such percentages are quite low across all models considered.”
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY (2010, unknown): “bootstrap method outlined in Swensen (2006) follows the same steps as the wild bootstrap method outlined in Section 4.”