Browsing Norges Banks vitenarkiv by Subject "cointegration tests"
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Bootstrapping the Likelihood Ratio Cointegration Test in Error Correction Models with Unknown Lag Order
(Working Papers;12/2009, Working paper, 2009)We investigate the small-sample size and power properties of bootstrapped likelihood ratio systems cointegration tests via Monte Carlo simulations when the true lag order of the data generating process is unknown. A recursive ...