The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Mar, 2015, Volume 83, Issue 2
https://doi.org/10.3982/ECTA11952
p. 813-831
Giuseppe Cavaliere, Heino Bohn Nielsen, and Anders Rahbek
This zip file contains the replication files for the manuscript.
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.
