A New Set of Critical Values for Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms

No ECO2003/07, Economics Working Papers from European University Institute

Abstract: In this note I present a new set of simulated percentiles of asymptotic distributions regarding systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lütkepohl (2000a, 2000b, 2000c). The new percentiles are based on an improved random number generator implemented in GAUSS V3.6 and make critical values available for a larger range of percentage points and higher-dimensional systems.

JEL-codes: C15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: Written 2003
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Journal Article: A new set of critical values for systems cointegration tests with a prior adjustment for deterministic terms (2003)
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Persistent link: http://EconPapers.repec.org/RePEc:eui:euiwps:eco2003/07

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