BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS
Carsten Trenkler ()
Econometric Theory, 2009, vol. 25, issue 1, 243-269
In this paper we analyze bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen et al. (2006, Econometric Theory 22, 15â€“68) and Saikkonen and LÃ¼tkepohl (2000, Journal of Time Series Analysis 21, 435â€“456). 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.
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Working Paper: Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:25:y:2009:i:01:p:243-269_09
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