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A Bartlett Correction Factor for Tests on the Cointegrating Relations

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Author Info
Johansen, S.

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Abstract

Likelihood ratio tests for restrictions on contegrating vectors are asymptotically X2 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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Publisher Info
Paper provided by European University Institute in its series Economics Working Papers with number eco99/10.

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Length: 50 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:eui:euiwps:eco99/10

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Related research
Keywords: TESTING ; REGRESSION ANALYSIS ; ECONOMETRICS;

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

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