A new set of critical values for systems cointegration tests with a prior adjustment for deterministic terms
AbstractIn this note I present a new set of simulated percentiles of asymptotic distributions regarding systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen and Lütkepohl (2000a, 2000b, 2000c) and Saikkonen and Luukkonen (1997). The new percentiles are based on an improved random number generator implemented in GAUSS V3.6 and make critical values available for a larger range of percentage points and higher-dimensional systems.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 3 (2003)
Issue (Month): 11 ()
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Other versions of this item:
- Casten TRENKLER, 2003. "A New Set of Critical Values for Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms," Economics Working Papers ECO2003/07, European University Institute.
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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