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 & Lütkepohl (2000a, 2000b, 2000c). 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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Date of creation: 2003
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- Carsten Trenkler, 2003. "A new set of critical values for systems cointegration tests with a prior adjustment for deterministic terms," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-9.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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