BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS

Carsten Trenkler

26 citations0/0 files storedEconometric Theory

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Abstract

In this paper we analyze bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen et al. (2006,Econometric Theory22, 15–68) and Saikkonen and Lütkepohl (2000,Journal of Time Series Analysis21, 435–456). 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.

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References

1988Statistical analysis of cointegration vectors 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 2004Applied Time Series Econometrics 2002A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model 1998APPROXIMATIONS TO THE ASYMPTOTIC DISTRIBUTIONS OF COINTEGRATION TESTS 2000Testing for the Cointegrating Rank of a VAR Process With Structural Shifts 2003Tests for Unit Roots and the Initial Condition 1995Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks in Vector Autoregressions

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2005BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING 2022Johansen‐type cointegration tests with a Fourier function 2015Bootstrap tests for time varying cointegration

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