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BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS

Carsten Trenkler ()

Econometric Theory, 2009, vol. 25, issue 1, 243-269

Abstract: 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, 15–68) and Saikkonen and Lütkepohl (2000, Journal of Time Series Analysis 21, 435–456). 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.

Date: 2009
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Working Paper: Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms (2006) Downloads
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