Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
Trenkler, Carsten
Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms created by Carsten Trenkler - Econometric theory Volume 25, number 1 .
In this paper we analyze bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen et al. (2006, Econometric Theory 22, 15–68) and Saikkonen and Lütkepohl (2000, Journal of Time Series Analysis 21, 435–456). 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.
02664666
Bootstrap--VEC models--Systems cointegration tests
HB139.T52 ECO
Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms created by Carsten Trenkler - Econometric theory Volume 25, number 1 .
In this paper we analyze bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen et al. (2006, Econometric Theory 22, 15–68) and Saikkonen and Lütkepohl (2000, Journal of Time Series Analysis 21, 435–456). 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.
02664666
Bootstrap--VEC models--Systems cointegration tests
HB139.T52 ECO