Arbeitspapier
Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2006,012
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Estimation: General
Statistical Simulation Methods: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
Bootstrap
Systems cointegration tests
VEC models
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Trenkler, Carsten
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Trenkler, Carsten
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2006
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