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A Bootstrap Test of Cointegration Rank

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  • Gonzalo Camba-Mendez

Abstract

This paper suggests a bootstrap testing procedure for determining the rank of cointegrated systems. The properties of the new testing procedure are investigated using Monte Carlo techniques. The performance of the test compares favourably to that of the widely used procedures for determining cointegration rank proposed by Johansen (1988).

Suggested Citation

  • Gonzalo Camba-Mendez, 1999. "A Bootstrap Test of Cointegration Rank," National Institute of Economic and Social Research (NIESR) Discussion Papers 151, National Institute of Economic and Social Research.
  • Handle: RePEc:nsr:niesrd:151
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    Cited by:

    1. Donald, Stephen G. & Fortuna, Natércia & Pipiras, Vladas, 2007. "On Rank Estimation In Symmetric Matrices: The Case Of Indefinite Matrix Estimators," Econometric Theory, Cambridge University Press, vol. 23(6), pages 1217-1232, December.

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