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A small sample correction for tests of hypotheses on the cointegrating vectors

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  • Johansen, Soren

Abstract

A correction factor, depending on sample size and parameters, is found for the likelihood ratio test for some linear hypotheses on the cointegrating space in a vector autoregressive model, where the adjustment coefficients are known. The main idea is to condition on the common trends when making inference on the cointegrating coefficients in order to calculate the Bartlett correction factor. Some simulation experiments illustrate the findings.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 111 (2002)
Issue (Month): 2 (December)
Pages: 195-221

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Handle: RePEc:eee:econom:v:111:y:2002:i:2:p:195-221

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Johansen, S ren, 2000. "A Bartlett Correction Factor For Tests On The Cointegrating Relations," Econometric Theory, Cambridge University Press, vol. 16(05), pages 740-778, October.
  2. Johansen, Søren, 1995. "A Stastistical Analysis of Cointegration for I(2) Variables," Econometric Theory, Cambridge University Press, vol. 11(01), pages 25-59, February.
  3. Jacobson, T. & Vredin, A. & Warne, A., 1993. "Are Real Wages and Unemployment Related?," Papers 558, Stockholm - International Economic Studies.
  4. Rothenberg, Thomas J, 1988. "Approximate Power Functions for Some Robust Tests of Regression Coefficients," Econometrica, Econometric Society, vol. 56(5), pages 997-1019, September.
  5. Paruolo, Paolo, 2000. "Asymptotic Efficiency Of The Two Stage Estimator In I (2) Systems," Econometric Theory, Cambridge University Press, vol. 16(04), pages 524-550, August.
  6. Boswijk, H. Peter, 1995. "Efficient inference on cointegration parameters in structural error correction models," Journal of Econometrics, Elsevier, vol. 69(1), pages 133-158, September.
  7. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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Cited by:
  1. Rahmatsyah, Teuku & Rajaguru, Gulasekaran & Siregar, Reza Y., 2002. "Exchange-rate volatility, trade and "fixing for life" in Thailand," Japan and the World Economy, Elsevier, vol. 14(4), pages 445-470, December.
  2. Macchiarelli, Corrado, 2011. "Bond market co-movements, expected inflation and the equilibrium real exchange rate," Working Paper Series 1405, European Central Bank.
  3. Chevillon, Guillaume, 2012. "Local-Explosive Approximations to Null Distributions of the Johansen Cointegration Test, with an Application to Cyclical Concordance in the Euro Area," ESSEC Working Papers WP1210, ESSEC Research Center, ESSEC Business School.
  4. Bjørnar Karlsen Kivedal, 2012. "A DSGE Model with Housing in the Cointegrated VAR Framework," Working Paper Series 12712, Department of Economics, Norwegian University of Science and Technology.
  5. Canepa, Alessandra, 2006. "Small sample corrections for linear restrictions on cointegrating vectors: A Monte Carlo comparison," Economics Letters, Elsevier, vol. 91(3), pages 330-336, June.
  6. Guillaume Chevillon, 2013. "Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming," Post-Print hal-00914830, HAL.
  7. Bwire, Thomas & Morrissey, Oliver & Lloyd, Tim, 2013. "A timeseries analysis of the impact of foreign aid on central government.s fiscal budget in Uganda," Working Paper Series UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER).
  8. Zanetti Chini, Emilio, 2010. "Does the purchasing power parity hypothesis hold after 1998?," MPRA Paper 27225, University Library of Munich, Germany.
  9. Chevillon, Guillaume, 2007. "Inference in the Presence of Stochastic and Deterministic Trends," ESSEC Working Papers DR 07021, ESSEC Research Center, ESSEC Business School.
  10. Bwire, Thomas & Morrissey, Oliver & Lloyd, Tim, 2013. "Foreign aid, public sector and private consumption: A cointegrated vector autoregressive approach," Working Paper Series UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER).
  11. Pedro M G Martins, . "Fiscal Dynamics in Ethiopia: A Cointegrated VAR Model with Quarterly Data," Discussion Papers 10/05, University of Nottingham, CREDIT.
  12. Alessandra Canepa & Raymond O'Brien, 2000. "The Size and Power of Bootstrap Tests for Linear Restrictions in Misspecified Cointegrating Relationships," Econometric Society World Congress 2000 Contributed Papers 1807, Econometric Society.
  13. de Mello, Luiz & Pisu, Mauro, 2010. "The bank lending channel of monetary transmission in Brazil: A VECM approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(1), pages 50-60, February.
  14. Pedro M. G. Martins, 2010. "Fiscal Dynamics in Ethiopia: The Cointegrated VAR Model with Quarterly Data," Working Paper Series 0910, Department of Economics, University of Sussex.

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