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2006-02-10Buch DOI: 10.18452/3942
Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms
dc.contributor.authorTrenkler, Carsten
dc.date.accessioned2017-06-15T23:05:05Z
dc.date.available2017-06-15T23:05:05Z
dc.date.created2006-02-15
dc.date.issued2006-02-10
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4594
dc.description.abstractIn this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen and Lütkepohl (2000b), and Saikkonen, Lütkepohl and 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectBootstrapeng
dc.subjectSystems cointegration testseng
dc.subjectVEC modelseng
dc.subject.ddc330 Wirtschaft
dc.titleBootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10058084
dc.identifier.doihttp://dx.doi.org/10.18452/3942
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages56
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2006
local.edoc.container-issue12
local.edoc.container-year2006
local.edoc.container-erstkatid2195055-6

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