Bootstrap test for seasonal cointegrating ranks

Abstract

We consider a bootstrap algorithm for the Likelihood Ratio (LR) test of seasonal Cointegrating (CI) ranks as the extension of Swensen (2006). Through a small Monte Carlo simulation experiment, we find that the bootstrap algorithm can effectively improve size distortions of the LR test.

Keywords:

• likelihood ratio test
• seasonal cointegration
• seasonal unit root

JEL Classification:

• C12
• C22
• C32

Acknowledgement

This research was supported by Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Education, Science and Technology (grant number 2009-0071493).