Cavaliere, Guiseppe; Rahbek, Anders; Taylor, A.M. Robert - School of Economics and Management, University of Aarhus - 2010
Determining the co-integrating rank of a system of variables has become a fundamental aspect of applied research in macroeconomics and finance. It is wellknown that standard asymptotic likelihood ratio tests for co-integration rank of Johansen (1996) can be unreliable in small samples with...