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A New Set of Critical Values for Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms

  • Casten TRENKLER

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.

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Paper provided by European University Institute in its series Economics Working Papers with number ECO2003/07.

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Date of creation: 2003
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Handle: RePEc:eui:euiwps:eco2003/07
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  1. 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.
  2. 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.
  3. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  4. Lütkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten, 2000. "Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process," SFB 373 Discussion Papers 2000,83, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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