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A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model

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Author Info

  • Johansen, S.

Abstract

We derive an approximation to the expectation of the likelihood tatio test for cointegration in the vector autoregressive model. The expression depends on moments of functions of random walk, which are tabulated by simulation, and functions of the parameters, which are estimated. From this approximation we propose a correction factor with the purpose of improving the small sample performance of the test.

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Bibliographic Info

Paper provided by European University Institute in its series Economics Working Papers with number eco2000/15.

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Length: 35 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:eui:euiwps:eco2000/15

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Related research

Keywords: TESTS ; MODELS ; MATHEMATICS;

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Cited by:
  1. Marçal, Emerson Fernandes, 2013. "Exchange rate misalignments, interdependence, crises, and currency wars: an empirical assessment," Textos para discussão 348, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  2. Sugita, Katsuhiro, 2002. "Testing For Cointegration Rank Using Bayes Factors," The Warwick Economics Research Paper Series (TWERPS) 654, University of Warwick, Department of Economics.
  3. Bent Nielsen, 2000. "Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend," Econometric Society World Congress 2000 Contributed Papers 1494, Econometric Society.

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