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A Bartlett Correction Factor For Tests On The Cointegrating Relations

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  • Johansen, S ren

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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Suggested Citation

  • 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.
  • Handle: RePEc:cup:etheor:v:16:y:2000:i:05:p:740-778_16
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    JEL classification:

    • 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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