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Kascha, Christian 1 Trenkler, Carsten 1
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Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
Kascha, Christian; Trenkler, Carsten - In: Computational Statistics & Data Analysis 55 (2011) 2, pp. 1008-1017
The finite-sample size and power properties of bootstrapped likelihood ratio system cointegration tests are investigated via Monte Carlo simulations when the true lag order of the data generating process is unknown. Recursive bootstrap schemes are employed which differ in the way in which the...
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