Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/209928 
Year of Publication: 
2009
Series/Report no.: 
Working Paper No. 2009/12
Publisher: 
Norges Bank, Oslo
Abstract: 
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 bootstrap scheme is employed. We estimate the order by minimizing different information criteria. In comparison to the standard asymptotic likelihood ratio test based on an estimated lag order we found that the recursive bootstrap procedure can lead to improvements in small samples even when the true lag order is unknown while the power loss is moderate.
Subjects: 
cointegration tests
bootstrapping
information criteria
JEL: 
C15
C32
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-509-0
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
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