Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms
| dc.contributor.author | Trenkler, Carsten | |
| dc.date.accessioned | 2017-06-15T23:05:05Z | |
| dc.date.available | 2017-06-15T23:05:05Z | |
| dc.date.created | 2006-02-15 | |
| dc.date.issued | 2006-02-10 | |
| dc.identifier.issn | 1860-5664 | |
| dc.identifier.uri | http://edoc.hu-berlin.de/18452/4594 | |
| dc.description.abstract | In 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.iso | eng | |
| dc.publisher | Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät | |
| dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
| dc.subject | Bootstrap | eng |
| dc.subject | Systems cointegration tests | eng |
| dc.subject | VEC models | eng |
| dc.subject.ddc | 330 Wirtschaft | |
| dc.title | Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms | |
| dc.type | workingPaper | |
| dc.identifier.urn | urn:nbn:de:kobv:11-10058084 | |
| dc.identifier.doi | http://dx.doi.org/10.18452/3942 | |
| dc.subject.dnb | 17 Wirtschaft | |
| local.edoc.pages | 56 | |
| local.edoc.type-name | Diskussionspapier | |
| local.edoc.container-type | series | |
| local.edoc.container-type-name | Schriftenreihe | |
| local.edoc.container-year | 2006 | |
| dc.identifier.zdb | 2195055-6 | |
| bua.series.name | Sonderforschungsbereich 649: Ökonomisches Risiko | |
| bua.series.issuenumber | 2006,12 |
