Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms

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.