Kapetanios, George (contributor); … - 1999 - [Elektronische Ressource]
A Bootstrap Test of Cointegration Rank
G. Kapetanios
#03
and G. Camba-Mendez
June 25, 1999
Abstract
This paper suggests … a bootstrap testing procedure for determining the rank of coin-
tegrated systems. The properties of the new testing ….
Keywords: Test of Rank, Bootstrap, Cointegration.
1 Introduction
Interest incointegrationanalysishas ledto the …