Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms

Carsten Trenkler ()

No SFB649DP2006-012, SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649

Abstract: In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lütkepohl (2000b) and Saikkonen, Lütkepohl & Trenkler (2006). The asymptotic properties of the bootstrap test procedures are derived and their small sample properties are studied. The simulation study also considers the standard asymptotic test versions and the Johansen cointegration test for comparison.

Keywords: Bootstrap; Systems cointegration tests; VEC models (search for similar items in EconPapers)
JEL-codes: C12 C13 C15 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2006-02
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Related works:
Journal Article: BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS (2009)
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Persistent link: http://EconPapers.repec.org/RePEc:hum:wpaper:sfb649dp2006-012

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