Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order

Christian Kascha (christian.kascha@posteo.de) and Carsten Trenkler

No 2009/12, Working Paper from Norges Bank

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.

Keywords: Cointegration tests; Bootstrapping; Information criteria (search for similar items in EconPapers)
JEL-codes: C15 C32 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2009-08-04
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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https://www.norges-bank.no/en/news-events/news-pub ... pers/2009/WP-200912/

Related works:
Journal Article: Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:bno:worpap:2009_12

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