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A Bartlett Correction Factor For Tests On The Cointegrating Relations

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Johansen, S ren

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Abstract

Likelihood ratio tests for restrictions on cointegrating vectors are asymptotically 2 distributed. For some values of the parameters this asymptotic distribution does not give a good approximation to the finite sample distribution. In this paper we derive the Bartlett correction factor for the likelihood ratio test and show by some simulation experiments that it can be a useful tool for making inference.

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File URL: http://journals.cambridge.org/abstract_S0266466600165065
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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 16 (2000)
Issue (Month): 05 (October)
Pages: 740-778
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:etheor:v:16:y:2000:i:05:p:740-778_16

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  1. Chevillon, Guillaume, 2007. "Inference in the Presence of Stochastic and Deterministic Trends," ESSEC Working Papers DR 07021, ESSEC Research Center, ESSEC Business School. [Downloadable!]
  2. Cubadda, Gianluca & Omtzigt, Pieter, 2003. "Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems," Economics & Statistics Discussion Papers esdp03012, University of Molise, Dept. SEGeS. [Downloadable!]
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  3. Andreas Beyer & Alfred A. Haug & William G. Dewald, 2009. "Structural Breaks, Cointegration and the Fisher Effect," Working Paper Series 1013, European Central Bank. [Downloadable!]
  4. Jan Overgaard Olesen, . "A Simple Explanation of Stock Price Behavior in the Long Run: Evidence for Denmark," EPRU Working Paper Series 00-09, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]
  5. Omtzigt Pieter & Fachin Stefano, 2002. "Bootstrapping and Bartlett corrections in the cointegrated VAR model," Economics and Quantitative Methods qf0212, Department of Economics, University of Insubria. [Downloadable!]
  6. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249. [Downloadable!]
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  7. Elias Oikarinen, 2009. "Dynamic linkages between housing and lot prices: Empirical evidence from Helsinki," Discussion Papers 53, Aboa Centre for Economics. [Downloadable!]
  8. Michael Bergman & Yin-Wong Cheung & Kon S. Lai, 2005. "The Common-Trend and Transitory Dynamics in Real Exchange Rate Fluctuations," FRU Working Papers 2005/05, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
  9. Maurizio Michael Habib & Margarita Manolova Kalamova, 2007. "Are there oil currencies? The real exchange rate of oil exporting countries," Working Paper Series 839, European Central Bank. [Downloadable!]
  10. Di Iorio, Francesca & Fachin, Stefano, 2007. "Testing for cointegration in dependent panels via residual-based bootstrap methods," MPRA Paper 3139, University Library of Munich, Germany, revised 11 Dec 2008. [Downloadable!]
  11. Michael PEDERSEN, 2002. "Does the Purchasing Power Parity Hold Within the US?," Economics Working Papers ECO2002/18, European University Institute. [Downloadable!]
  12. Eriksson , Åsa, 2004. "Testing Structural Hypotheses on Cointegration Vectors: A Monte Carlo Study," Working Papers 2004:29, Lund University, Department of Economics. [Downloadable!]
  13. Elias Oikarinen, 2008. "Interaction between housing prices and household borrowing - the Finnish case," Discussion Papers 29, Aboa Centre for Economics. [Downloadable!]
  14. Binner, Jane & Elger, Thomas, 2002. "The UK Personal Sector Demand for Risky Money," Working Papers 2002:9, Lund University, Department of Economics.
  15. Elias Oikarinen, 2008. "Interaction between Housing Prices and Household Borrowing in Finland," Discussion Papers 1145, The Research Institute of the Finnish Economy. [Downloadable!]
  16. Bent Nielsen & Eric Engler, 2007. "The empirical process of autoregressive residuals," Economics Papers 2007-W01, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  17. Villani, Mattias, 2005. "Bayesian Inference of General Linear Restrictions on the Cointegration Space," Working Paper Series 189, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
  18. Norman Morin, 2006. "Likelihood ratio tests on cointegrating vectors, disequilibrium adjustment vectors, and their orthogonal complements," Finance and Economics Discussion Series 2006-21, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  19. Dimitrios Papaikonomou & Jacinta Pires, 2005. "Are US Output Expectations Unbiased? A Cointegrated VAR Analysis in Real Time," Money Macro and Finance (MMF) Research Group Conference 2005 59, Money Macro and Finance Research Group. [Downloadable!]
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