Bootstrapping Systems Cointegration Tests with a Prior Adjustment forDeterministic Terms

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 small sample properties are studied. The simulation study also considers thestandard asymptotic test versions and the Johansen cointegration test for comparison.

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Year of publication:	2006-02-10
Authors:	Trenkler, Carsten
Institutions:	Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Subject:	Integration \| Statistisches Modell \| Bootstrap-Hypothese

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Extent:	56 p. 513 p. application/pdf
Series:	Sonderforschungsbereich 649: Ökonomisches Risiko - Diskussionspapiere Diskussionspapier ; 2006-012
Type of publication:	Book / Working Paper
Language:	English
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; Others ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005861697