A new set of critical values for systems cointegration tests with a prior adjustment for deterministic terms

Carsten Trenkler

Economics Bulletin, 2003, vol. 3, issue 11, 1-9

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 and Lütkepohl (2000a, 2000b, 2000c) and Saikkonen and Luukkonen (1997). 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: C1 (search for similar items in EconPapers)
Date: 2003-06-19
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Citations: View citations in EconPapers (26)

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Working Paper: A New Set of Critical Values for Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms (2003)
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