Resource title

Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms

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Resource description

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.

Resource author

Carsten Trenkler

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Resource language

eng

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text/html

Resource resource URL

http://hdl.handle.net/10419/25095

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Adapt according to the presented license agreement and reference the original author.