A Bootstrap Test of Cointegration Rank

Gonzalo Camba-Mendez

No 151, National Institute of Economic and Social Research (NIESR) Discussion Papers from National Institute of Economic and Social Research

Abstract: This paper suggests a bootstrap testing procedure for determining the rank of cointegrated systems. The properties of the new testing procedure are investigated using Monte Carlo techniques. The performance of the test compares favourably to that of the widely used procedures for determining cointegration rank proposed by Johansen (1988).

Date: 1999-06
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Persistent link: https://EconPapers.repec.org/RePEc:nsr:niesrd:151

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