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| Carsten Trenkler |
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| ''A new set of critical values for systems cointegration tests with a prior adjustment for deterministic terms'' |
| ( 2003, Vol. 3 No.11 ) |
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| In this note I present a new set of simulated percentiles of asymptotic distributions regarding systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen and Lütkepohl (2000a, 2000b, 2000c) and Saikkonen and Luukkonen (1997). The new percentiles are based on an improved random number generator implemented in GAUSS V3.6 and make critical values available for a larger range of percentage points and higher-dimensional systems. |
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| Keywords: |
JEL: C1 - Econometric and Statistical Methods: General
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| Manuscript Received : Apr 01 2003 | | Manuscript Accepted : Jun 19 2003 |
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