Browsing Norges Banks vitenarkiv by Author "Kascha, Christian"

Now showing items 1-4 of 4

    • Bootstrapping the Likelihood Ratio Cointegration Test in Error Correction Models with Unknown Lag Order 

      Kascha, Christian; Trenkler, Carsten (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 ...

    • Business Cycle Analysis and VARMA Models 

      Kascha, Christian; Mertens, Karel (Working Papers;5/2008, Working paper, 2008)
      Can long-run identified structural vector autoregressions (SVARs) discriminate between competing models in practice? Several authors have suggested SVARs fail partly because they are finite-order approximations to ...

    • Combining Inflation Density Forecasts 

      Kascha, Christian; Ravazzolo, Francesco (Working Papers;22/2008, Working paper, 2008)
      In this paper, we empirically evaluate competing approaches for combining inflation density forecasts in terms of Kullback-Leibler divergence. In particular, we apply a similar suite of models to four different data sets ...

    • Money and Credit in Norway 

      Kascha, Christian (Staff Memo;8/2009, Working paper, 2009)
      The recent turmoil in the global financial markets raises questions about the nature of the downturn of the Norwegian economy. In particular, are worsening credit market conditions also a leading cause of the Norwegian ...