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

The supplement is organized as follows.  Section B contains the extended Monte Carlo results for the processes of different dimensions p, different values of the co-integration rank r and the lag length k.  Section C contains proofs of Lemma 1, Proposition 1 and Theorem 1 of Cavaliere et al.  (2014). Section D reports the additional theoretical results and proofs for the bootstrap test in the case of an intercept.

Supplemental Authors: 
Cavaliere, Giuseppe - University of Bologna
Nielsen, Heino Bohn - University of Copenhagen
Rahbek, Anders - University of Copenhagen