A Bartlett Correction Factor for Tests on the Cointegrating Relations
AbstractLikelihood 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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Bibliographic InfoPaper provided by European University Institute in its series Economics Working Papers with number eco99/10.
Length: 50 pages
Date of creation: 1999
Date of revision:
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TESTING ; REGRESSION ANALYSIS ; ECONOMETRICS;
Other versions of this item:
- 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.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
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