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.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by European University Institute in its series Economics Working Papers with number eco99/9.
Length: 35 pages
Date of creation: 1999
Date of revision:
Contact details of provider:
Postal: Badia Fiesolana, Via dei Roccettini, 9, 50016 San Domenico di Fiesole (FI) Italy
Web page: http://www.eui.eu/ECO/
More information through EDIRC
TESTING ; REGRESSION ANALYSIS ; ECONOMETRICS;
Other versions of this item:
- Johansen, Soren, 2002. "A small sample correction for tests of hypotheses on the cointegrating vectors," Journal of Econometrics, Elsevier, vol. 111(2), pages 195-221, December.
- 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
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jacobson, Tor & Vredin, Anders & Warne, Anders, 1998.
"Are Real Wages and Unemployment Related?,"
London School of Economics and Political Science, vol. 65(257), pages 69-96, February.
- Jacobson, T. & Vredin, A. & Warne, A., 1993. "Are Real Wages and Unemployment Related?," Papers 558, Stockholm - International Economic Studies.
- Jacobson, Tor & Vredin, Anders & Warne, Anders, 1994. "Are Real Wages and Unemployment Related?," Working Paper Series in Economics and Finance 8, Stockholm School of Economics.
- Rothenberg, Thomas J, 1988. "Approximate Power Functions for Some Robust Tests of Regression Coefficients," Econometrica, Econometric Society, vol. 56(5), pages 997-1019, September.
- Johansen, S., 1991.
"A Statistical Analsysis of Cointegration for I(2) Variables,"
77, Helsinki - Department of Economics.
- Johansen, Søren, 1995. "A Stastistical Analysis of Cointegration for I(2) Variables," Econometric Theory, Cambridge University Press, vol. 11(01), pages 25-59, February.
- Johansen, S., 1999.
"A Bartlett Correction Factor for Tests on the Cointegrating Relations,"
Economics Working Papers
eco99/10, European University Institute.
- 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.
- 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.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Teuku Rahmatsyah & Gulasekaran Rajaguru & Reza Siregar, 2002. "Exchange Rate Volatility, Trade and Â“Fixing for LifeÂ” in Thailand," Centre for International Economic Studies Working Papers 2002-12, University of Adelaide, Centre for International Economic Studies.
- 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).
- Chevillon, Guillaume, 2007. "Inference in the Presence of Stochastic and Deterministic Trends," ESSEC Working Papers DR 07021, ESSEC Research Center, ESSEC Business School.
- Zanetti Chini, Emilio, 2010. "Does the purchasing power parity hypothesis hold after 1998?," MPRA Paper 27225, University Library of Munich, Germany.
- Chevillon, Guillaume, 2013.
"Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming,"
ESSEC Working Papers
WP1320, ESSEC Research Center, ESSEC Business School.
- 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.
- 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).
- Macchiarelli, Corrado, 2011.
"Bond market co-movements, expected inflation and the equilibrium real exchange rate,"
Working Paper Series
1405, European Central Bank.
- Macchiarelli, Corrado, 2014. "Bond market co-movements, expected inflation and the GBP-USD equilibrium real exchange rate," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 242-256.
- 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.
- Pedro M G Martins, . "Fiscal Dynamics in Ethiopia: A Cointegrated VAR Model with Quarterly Data," Discussion Papers 10/05, University of Nottingham, CREDIT.
- 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.
- Luiz de Mello & Mauro Pisu, 2009. "The Bank Lending Channel of Monetary Transmission in Brazil: A VECM Approach," OECD Economics Department Working Papers 711, OECD Publishing.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marcia Gastaldo).
If references are entirely missing, you can add them using this form.