A Bootstrap Test of Cointegration Rank
AbstractThis paper suggests a bootstrap testing procedure for determining the rank of cointegrated systems. The properties of the new testing procedure are investigated using Monte Carlo techniques. The performance of the test compares favourably to that of the widely used procedures for determining cointegration rank proposed by Johansen (1988).
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Bibliographic InfoPaper provided by National Institute of Economic and Social Research in its series NIESR Discussion Papers with number 151.
Date of creation: Jun 1999
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