Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
分析了一种用于带受限线性趋势的降秩VAR模型的Bootstrap算法，证明其检验协整秩的渐近分布与似然比检验相同，且确定秩的Bootstrap程序渐近一致，并给出实证示例。
In this paper a bootstrap algorithm for a reduced rank VAR-model with a restricted linear trend is analyzed. For testing the cointegration rank the asymptotic distribution under the hypothesis is the same as for the usual likelihood ratio test. It is furthermore shown that a bootstrap procedure for determining the rank is asymptotically consistent in the sense that the probability of choosing the rank too small converges to zero. An empirical illustration is given.