Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms

Carsten Trenkler

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. -- Bootstrap ; Systems cointegration tests ; VEC models

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Year of publication:	03 Febr. 2006
Other Persons:	Trenkler, Carsten (contributor)
Publisher:	Berlin : SFB 649, Economic Risk
Subject:	Theorie \| Theory \| Kointegration \| Cointegration \| Statistischer Test \| Statistical test \| Bootstrap-Verfahren \| Bootstrap approach \| Simulation

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Extent:	Online-Ressource, 53 S., Text
Series:	SFB 649 discussion paper. - Berlin : [Verlag nicht ermittelbar], ISSN 1860-5664, ZDB-ID 2195055-6. - Vol. 2006,012
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/25095 [Handle]
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10003324256