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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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Author Info
Carsten Trenkler () (European University Institute, Florence and Humboldt Universität zu Berlin)

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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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File URL: http://www.economicsbulletin.com/2003/volume3/EB-03C10003A.pdf
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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 3 (2003)
Issue (Month): 11 ()
Pages: 1-9
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Handle: RePEc:ebl:ecbull:v:3:y:2003:i:11:p:1-9

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Related research
Keywords: Critical values; Simulation; Systems cointegration tests;

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Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General

References listed on IDEAS
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  1. Saikkonen, Pentti & L tkepohl, Helmut, 2000. "Testing For The Cointegrating Rank Of A Var Process With An Intercept," Econometric Theory, Cambridge University Press, vol. 16(03), pages 373-406, June. [Downloadable!]
  2. 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, vol. 4(2), pages 8.
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  3. H. D. Vinod, 2000. "Review of GAUSS for Windows, including its numerical accuracy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 211-220.
  4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
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