A small sample correction for tests of hypotheses on the cointegrating vectors
AbstractA 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 InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 111 (2002)
Issue (Month): 2 (December)
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Other versions of this item:
- Johansen, S., 1999. "A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors," Economics Working Papers eco99/9, European University Institute.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
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