Blar i Arbeidsnotater / Working Papers på forfatter "Trenkler, Carsten"
-
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 ...