Pynnonen, Seppo and Juuso Vataja (1997). Bootsrap testing for cointegration of international commodity prices. Proceedings of the University of Vaasa. Discussion Papers 227, 22p.

Abstract
This paper investigates cointegration with respect to nine commodity groups traded on international markets. Bootstrapping is utilized in the testing procedure. Of the 21 pairs of price series, investigated here, 16 were found to be cointegrated. The negative result for three out of the remaining five cases, which were not cointegrated, is explained by trade policy. Thus, almost all of the institutionally nonregulated cases appear to be cointegrated. An important statistical finding is that the augmented Dickey-Fuller test for cointegration (CRADF) generally yields p-values that are more than three times the p-values obtained by the bootstrap testing. This indicates that the CRADF test is strongly biased against rejecting the non-cointegration null hypothesis, and that the CARDF test may have very little power in the case of small sample sizes. Similar results were previously reported by Davidson and MacKinnon (1996) in the context of other asymptotic econometric testing procedures.