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BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS

Published online by Cambridge University Press:  01 February 2009

Carsten Trenkler
Carsten Trenkler*
Affiliation:
University of Mannheim
*
*Address correspondence to Carsten Trenkler, University of Mannheim, Department of Economics, Chair of Empirical Economics, L7, 3–5, D-68131 Mannheim, Germany; e-mail: [email protected].
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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 Theory 22, 15–68) and Saikkonen and Lütkepohl (2000, Journal of Time Series Analysis 21, 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.

Type
ARTICLES
Information
Econometric Theory , Volume 25 , Issue 1 , February 2009 , pp. 243 - 269
Copyright
Copyright © Cambridge University Press 2009

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