BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS

被引：13
|
作者：
Trenkler, Carsten [1 ]
机构：
[1] Univ Mannheim, Dept Econ, Chair Empir Econ, D-68131 Mannheim, Germany
来源：
ECONOMETRIC THEORY | 2009年 / 25卷 / 01期
关键词：
LIKELIHOOD RATIO TESTS; UNIT-ROOT TESTS; SIEVE BOOTSTRAP; TIME-SERIES; RANK; TRENDS;
D O I：
10.1017/S0266466608090087
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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 Lutkepohl (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.
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页码：243 / 269
页数：27
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