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Title:Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms PDF Logo
Authors:Trenkler, Carsten
Issue Date:2006
Series/Report no.:SFB 649 discussion paper 2006,012
Abstract: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.
Subjects:Bootstrap
Systems cointegration tests
VEC models
JEL:C12
C13
C15
C32
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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