Testing for cointegrating relations - A bootstrap approach

dc.contributor.author	Mantalos, Panagiotis
dc.contributor.author	Shukur, Ghazi
dc.date.accessioned	2011-02-15T15:25:37Z
dc.date.available	2011-02-15T15:25:37Z
dc.date.issued	1999-05-01
dc.description.abstract	Using Monte Carlo methods together with the Bootstrap critical values, we have studied the properties of two tests (Trace and L-max), derived by Johansen (1988) for testing for cointegration in V AR systems. Regarding the size of the tests, the results show that both of the test methods perform satisfactorily when there are mixed stationary and nonstationary components in the model. The analyses of the power functions indicate that both of the test methods can effectively detect the present of cointegration vector(s). Finally, when considering the size and power properties, we could not find any noticeable differences between the two test methods.	sv
dc.format.extent	22	sv
dc.identifier.issn	0349-8034
dc.identifier.uri	http://hdl.handle.net/2077/24459
dc.language.iso	eng	sv
dc.publisher	University of Gothenburg	sv
dc.relation.ispartofseries	Research Report	sv
dc.relation.ispartofseries	1999:5	sv
dc.subject	Testing for cointegration in V AR systems	sv
dc.subject	Bootstrap	sv
dc.subject	Monte Carlo methods	sv
dc.title	Testing for cointegrating relations - A bootstrap approach	sv
dc.type	Text	sv
dc.type.svep	report	sv

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