Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: 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.