Sample Conditioned Inference ∗ Valentina Corradi Queen Mary and Westfield College, University of London Norman R. Swanson Texas A&M University May 1999 JEL classification: C12, C22. Keywords: Markov processes, nonlinearity, nonstationarity, wild bootstrap. ∗ Valentina Corradi, Department of Economics, Queen Mary and Westfield College, University of London, Mile End Road, London E1 4NS, UK, v.corradi@qmw.ac.uk. Norman R. Swanson, Department of Economics, Texas A&M University, College Station, Texas 77843-4228, USA. The authors wish to thank Herman Bierens, Liudas Giraitis, Eric Ghysels, Vassilis Hajivassiliou, Javier Hidalgo, Shinichi Sakata, Yongcheol Shin, Andy Snell, and seminar participants at Arizona State University, Indiana University, London School of Economics, Ohio State University, Pennsylvania State University, University of Edinburgh, Queen Mary and Westfield College, and Warwick University for helpful comments. Swanson thanks the National Science Foundation, grant number SBR-9730102 for research support.