A Bootstrap Test of Cointegration Rank
This 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).
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||Jun 1999|
|Date of revision:|
|Contact details of provider:|| Postal: 2 Dean Trench Street Smith Square London SW1P 3HE|
Web page: http://niesr.ac.uk
When requesting a correction, please mention this item's handle: RePEc:nsr:niesrd:191. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Library & Information Manager)
If references are entirely missing, you can add them using this form.