Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms

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.

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Year of publication:	2006
Authors:	Trenkler, Carsten
Publisher:	Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Subject:	Bootstrap \| Systems cointegration tests \| VEC models

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Series:	SFB 649 Discussion Paper ; 2006,012
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	512462097 [GVK] hdl:10419/25095 [Handle]
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010263621