In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic …

In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic … SFB 649 Discussion Paper 2006-012 Bootstrapping Systems Cointegration Tests with a Prior … K B E R L I N February 10, 2006 Bootstrapping Systems Cointegration Tests With a …

In this paper I present a procedure to approximate the asymptotic distributions of systems cointegration tests with a …

In this paper I present a procedure to approximate the asymptotic distributions of systems cointegration tests with a …

cointegration tests that do not accommodate level shifts. I consider two groups of Likelihood Ratio tests based on procedures …In this paper I analyse the effects of ignoring level shifts in the data generating process (DGP) on systems …

cointegration tests that do not accommodate level shifts. I consider two groups of Likelihood Ratio tests based on procedures …In this paper I analyse the effects of ignoring level shifts in the data generating process (DGP) on systems …

The literature on systems cointegration tests is reviewed and the various sets of assumptions for the asymptotic … simulation studies are discussed. Further issues and proposals in the context of systems cointegration tests are also considered …

The literature on systems cointegration tests is reviewed and the various sets of assumptions for the asymptotic … simulation studies are discussed. Further issues and proposals in the context of systems cointegration tests are also considered …