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A new set of critical values for systems cointegration tests with a prior adjustment for deterministic terms

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  • Carsten Trenkler

    ()
    (European University Institute, Florence and Humboldt Universität zu Berlin)

Abstract

In 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 Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 3 (2003)
Issue (Month): 11 ()
Pages: 1-9

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Handle: RePEc:ebl:ecbull:eb-03c10003

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  1. Saikkonen, Pentti & Lütkepohl, Helmut, 1998. "Testing for the cointegrating rank of a VAR process with an intercept," SFB 373 Discussion Papers 1998,51, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  2. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
  3. Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler, 2001. "Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 4(2), pages 8.
  4. H. D. Vinod, 2000. "Review of GAUSS for Windows, including its numerical accuracy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 15(2), pages 211-220.
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Cited by:
  1. Serge REY & Jacques JAUSSAUD, 2009. "Long-Run Determinants of Japanese Exports to China and the United States: A Sectoral Analysis," Working Papers 4, CATT - UPPA - Université de Pau et des Pays de l'Adour, revised Nov 2009.
  2. Muñoz, M. Pilar & Dickey, David A., 2009. "Are electricity prices affected by the US dollar to Euro exchange rate? The Spanish case," Energy Economics, Elsevier, Elsevier, vol. 31(6), pages 857-866, November.
  3. Klemens Hauzenberger & Robert Stehrer, 2010. "An Empirical Characterization of Redistribution Shocks and Output Dynamics," wiiw Working Papers, The Vienna Institute for International Economic Studies, wiiw 68, The Vienna Institute for International Economic Studies, wiiw.
  4. Carsten Trenkler, 2008. "Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms," Computational Statistics, Springer, Springer, vol. 23(1), pages 19-39, January.
  5. Julien Chevallier, 2012. "Cointegration between carbon spot and futures prices: from linear to nonlinear modeling," Economics Bulletin, AccessEcon, vol. 32(1), pages 160-181.
  6. Furió, Dolores & Chuliá, Helena, 2012. "Price and volatility dynamics between electricity and fuel costs: Some evidence for Spain," Energy Economics, Elsevier, Elsevier, vol. 34(6), pages 2058-2065.
  7. Cushman, David O., 2007. "A portfolio balance approach to the Canadian-U.S. exchange rate," Review of Financial Economics, Elsevier, Elsevier, vol. 16(3), pages 305-320.

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