Supplement to "Alternative Asymptotics for Cointegration Tests in Large VARs"

This zip file contains all MATLAB files used in the Monte Carlo analysis.  It also contains supplementary material for Onatski and Wang (2017). The appendix is lined up with sections in the main text to make it easy to locate the required proofs.

Supplemental Authors: 
Onatskiy, Alexey - University of Cambridge
Wang, Chen - University of Cambridge
Data and Programs