Hostname: page-component-848d4c4894-ttngx Total loading time: 0 Render date: 2024-05-11T15:16:45.435Z Has data issue: false hasContentIssue false
  • English
  • Français

BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS

Published online by Cambridge University Press:  01 February 2009

Carsten Trenkler
Carsten Trenkler*
Affiliation:
University of Mannheim
*
*Address correspondence to Carsten Trenkler, University of Mannheim, Department of Economics, Chair of Empirical Economics, L7, 3–5, D-68131 Mannheim, Germany; e-mail: trenkler@uni-mannheim.de.
Get access Rights & Permissions [Opens in a new window]

Abstract

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 Lütkepohl (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.

Type
ARTICLES
Information
Econometric Theory , Volume 25 , Issue 1 , February 2009 , pp. 243 - 269
Copyright
Copyright © Cambridge University Press 2009

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Bartlett, M.S. (1937) Properties of sufficiency and statistical tests. Proceedings of the Royal Society of London, Series A 160, 268–282.Google Scholar
Brüggemann, R. (2004) Model Reduction Methods for Vector Autoregressive Processes. Springer-Verlag.CrossRefGoogle Scholar
Chang, Y. & Park, J.Y. (2003) A sieve bootstrap for the test of a unit root. Journal of Time Series Analysis 24, 379–400.CrossRefGoogle Scholar
Davidson, R. & MacKinnon, J.G. (2000) Bootstrap tests: How many bootstraps? Econometric Reviews 19, 55–69.CrossRefGoogle Scholar
Doornik, J.A. (1998) Approximations to the asymptotic distributions of cointegration tests. Journal of Economic Surveys 12, 573–593.CrossRefGoogle Scholar
Elliott, G. & Müller, U.K. (2003) Tests for unit roots and the initial condition. Econometrica 71, 1269–1286.Google Scholar
Hamilton, J.D. (1994) Time Series Analysis. Princeton University Press.CrossRefGoogle Scholar
Hansen, P.R. & Johansen, S. (1998) Workbook on Cointegration. Oxford University Press.CrossRefGoogle Scholar
Horowitz, J.L. (2001) The bootstrap. In Heckmann, J.J. and Leamer, E.E. (eds.), Handbook of Econometrics, vol. 5, pp. 3159–3228. North-Holland.Google Scholar
Johansen, S. (1995) Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford University Press.CrossRefGoogle Scholar
Johansen, S. (2002) A small sample correction for the test of cointegrating rank in the vector autoregressive model. Econometrica 70, 1929–1961.CrossRefGoogle Scholar
King, R.G., Plosser, C.I., Stock, J.H., & Watson, M.W. (1991) Stochastic trends and economic fluctuations. American Economic Review 81, 819–840.Google Scholar
Lütkepohl, H. & Saikkonen, P. (2000) Testing for the cointegration rank of a VAR process with a time trend. Journal of Econometrics 95, 177–198.CrossRefGoogle Scholar
Paparoditis, E. & Politis, D.N. (2003) Residual-based block bootstrap for unit root testing. Econometrica 71, 813–855.CrossRefGoogle Scholar
Paparoditis, E. & Politis, D.N. (2005) Bootstrapping unit root tests for autoregressive time series. Journal of the American Statistical Association 100, 545–553.CrossRefGoogle Scholar
Park, J.Y. (2002) An invariance principle for sieve bootstrap in time series. Econometric Theory 18, 469–490.CrossRefGoogle Scholar
Park, J.Y. (2003) Bootstrap unit root tests. Econometrica 71, 1845–1895.CrossRefGoogle Scholar
Saikkonen, P. & Lütkepohl, H. (2000a) Testing for the cointegration rank of a VAR process with structural shifts. Journal of Business & Economic Statistics 18, 451–464.CrossRefGoogle Scholar
Saikkonen, P. & Lütkepohl, H. (2000b) Trend adjustment prior to testing for the cointegration rank of a VAR process. Journal of Time Series Analysis 21, 435–456.CrossRefGoogle Scholar
Saikkonen, P., Lütkepohl, H., & Trenkler, C. (2006) Break date estimation for VAR processes with level shift with an application to cointegration testing. Econometric Theory 22, 15–68.CrossRefGoogle Scholar
Swensen, A.R. (2005) Finite Sample Properties of a Bootstrap Procedure for Estimation of Rank in Reduced Rank VAR-Models. Mimeo, Department of Mathematics, University of Oslo.Google Scholar
Swensen, A.R. (2006a) Bootstrap algorithms for testing and determining the cointegration rank in VAR models. Econometrica 74, 1699–1714.CrossRefGoogle Scholar
Swensen, A.R. (2006b) Supplement to “Bootstrap algorithms for testing and determining the cointegration rank in VAR models.” Econometrica 74, 1699–1714.CrossRefGoogle Scholar
Toda, H.Y. (1994) Finite sample properties of likelihood ratio tests for cointegrating ranks when linear trends are present. Review of Economics and Statistics 76, 66–79.CrossRefGoogle Scholar
Toda, H.Y. (1995) Finite sample performance of likelihood ratio tests for cointegrating ranks in vector autoregressions. Econometric Theory 11, 1015–1032.CrossRefGoogle Scholar
Trenkler, C. (2006) Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms.SFB 649 Discussion Paper 12, Humboldt-Universität zu Berlin.Google Scholar
Trenkler, C. (2008) Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms. Computational Statistics 23, 19–39.CrossRefGoogle Scholar