Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models

Giuseppe Cavaliere; Heino Bohn Nielsen; Anders Rahbek

doi:10.3982/ecta11952

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Econometrica Vol. 83 No. 2 2015

Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models

Giuseppe Cavaliere¹; Heino Bohn Nielsen²; Anders Rahbek²

¹ University of Bologna · ² University of Copenhagen

open access

Abstract

THIS SUPPLEMENT CONTAINS proofs of the theoretical results stated in Cavaliere, In addition, extended details and discussions (also covering models with intercept) are given for the Monte Carlo results reported in Section 4 of

DOI: 10.3982/ecta11952
Volume: 83
Issue: 2
Pages: 813-831
Language: en
Sources: bibtex:phds-export.bib openalex crossref

Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models

Abstract

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