Blar i Norges Banks vitenarkiv på forfatter "Kascha, Christian"
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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 ...