Trenkler, Carsten - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006
In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lüutkepohl (2000b) and Saikkonen,Lütkepohl & Trenkler (2006). The asymptotic properties of the bootstrap test procedures are derived and their...