Cavaliere, Giuseppe; Rahbek, Anders; Robert, Taylor A.M. - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2011
This paper discusses a consistent bootstrap implementation of the likelihood ratio [LR] co-integration rank test and … associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed using the restricted … parameter estimates of the underlying VAR model which obtain under the reduced rank null hypothesis. A full asymptotic theory is …