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
Proofs