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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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  • Casten TRENKLER

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 & 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.

Suggested Citation

  • 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.
    • Handle: RePEc:eui:euiwps:eco2003/07
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    1. Saikkonen, Pentti & Lütkepohl, Helmut, 2000. "Testing For The Cointegrating Rank Of A Var Process With An Intercept," Econometric Theory, Cambridge University Press, vol. 16(3), pages 373-406, June.
    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 1-8.
    3. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    4. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    5. 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.
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    Cited by:

    1. Carsten Trenkler, 2008. "Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms," Computational Statistics, Springer, vol. 23(1), pages 19-39, January.
    2. Yahia Salhi & Stéphane Loisel, 2012. "Basis risk modelling: a co-integration based approach," Working Papers hal-00746859, HAL.
    3. Jacques Jaussaud & Serge Rey, 2012. "Long‐Run Determinants Of Japanese Exports To China And The United States: A Sectoral Analysis," Pacific Economic Review, Wiley Blackwell, vol. 17(1), pages 1-28, February.
    4. Vaona, Andrea, 2012. "Granger non-causality tests between (non)renewable energy consumption and output in Italy since 1861: The (ir)relevance of structural breaks," Energy Policy, Elsevier, vol. 45(C), pages 226-236.
    5. Born Benjamin & Demetrescu Matei, 2015. "Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests," Journal of Time Series Econometrics, De Gruyter, vol. 7(2), pages 143-179, July.
    6. Julien Chevallier, 2012. "Cointegration between carbon spot and futures prices: from linear to nonlinear modeling," Economics Bulletin, AccessEcon, vol. 32(1), pages 160-181.
    7. Dorina Lazar & Michel M. Denuit, 2009. "A multivariate time series approach to projected life tables," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(6), pages 806-823, November.
    8. Maciej Wysocki & Cezary Wójcik, 2021. "Fiscal sustainability in the EU after the global crisis: Is there any progress? Evidence from Poland," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3997-4012, July.
    9. Maciej Wysocki & Cezary Wojcik & Andreas Freytag, 2022. "Populists and Fiscal Policy: The Case of Poland," Jena Economics Research Papers 2022-013, Friedrich-Schiller-University Jena.
    10. Cushman, David O., 2007. "A portfolio balance approach to the Canadian-U.S. exchange rate," Review of Financial Economics, Elsevier, vol. 16(3), pages 305-320.
    11. Aviral Kumar TIWARI & Suresh K G & Mihai MUTAȘCU, 2015. "A Structural VAR analysis of Fiscal shocks on current accounts in Greece," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(604), A), pages 5-20, Autumn.
    12. Yahia Salhi & Stéphane Loisel, 2017. "Basis risk modelling: a co-integration based approach," Post-Print hal-00746859, HAL.
    13. Furió, Dolores & Chuliá, Helena, 2012. "Price and volatility dynamics between electricity and fuel costs: Some evidence for Spain," Energy Economics, Elsevier, vol. 34(6), pages 2058-2065.
    14. Eriko Hoshino & Caleb Gardner & Sarah Jennings & Klaas Hartmann, 2015. "Examining the Long-Run Relationship between the Prices of Imported Abalone in Japan," Marine Resource Economics, University of Chicago Press, vol. 30(2), pages 179-192.
    15. repec:dau:papers:123456789/7936 is not listed on IDEAS
    16. 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, vol. 31(6), pages 857-866, November.
    17. Wysocki Maciej & Wójcik Cezary, 2018. "Sustainability of fiscal policy in Poland in the period 2004–2017," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 54(3), pages 219-226, September.
    18. Maciej WYSOCKI & Cezary WÓJCIK, 2021. "Fiscal Sustainability in Poland: How Did the Public Policy Shift of 2016–2019 Impact the Country’s Long-Term," Ekonomista, Polskie Towarzystwo Ekonomiczne, issue 6, pages 777-798.
    19. Jacques Jaussaud & Serge Rey, 2012. "Long‐Run Determinants Of Japanese Exports To China And The United States: A Sectoral Analysis," Pacific Economic Review, Wiley Blackwell, vol. 17(1), pages 1-28, February.
    20. Klemens Hauzenberger & Robert Stehrer, 2010. "An Empirical Characterization of Redistribution Shocks and Output Dynamics," wiiw Working Papers 68, The Vienna Institute for International Economic Studies, wiiw.
    21. Maciej Wysocki & Cezary Wójcik, 2018. "Fiscal Sustainability in the EU After the Global Crisis: Is there any Progress?," CESifo Working Paper Series 7230, CESifo.
    22. repec:agr:journl:v:3(604):y:2015:i:3(604):p:5-20 is not listed on IDEAS

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    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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