The Econometric SocietyEconometrica: Mar 2015, Volume 83, Issue 2
Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models
https://doi.org/10.3982/ECTA11952
p.
813-831
Giuseppe Cavaliere, Heino Bohn Nielsen, and Anders Rahbek
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Supplemental Material
Supplement to "Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models"
This zip file contains the replication files for the manuscript.
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.