Small sample corrections for linear restrictions on cointegrating vectors: A Monte Carlo comparison
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Johansen, S ren, 2000.
"A Bartlett Correction Factor For Tests On The Cointegrating Relations,"
Cambridge University Press, vol. 16(05), pages 740-778, October.
- Johansen, S., 1999. "A Bartlett Correction Factor for Tests on the Cointegrating Relations," Economics Working Papers eco99/10, European University Institute.
- 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.
- Johansen, S., 1999. "A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors," Economics Working Papers eco99/9, European University Institute.
- Doornik, Jurgen A. & O'Brien, R. J., 2002. "Numerically stable cointegration analysis," Computational Statistics & Data Analysis, Elsevier, vol. 41(1), pages 185-193, November.
- Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
- Fachin, Stefano, 2000. " Bootstrap and Asymptotic Tests of Long-Run Relationships in Cointegrated Systems," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(4), pages 543-551, September.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Psaradakis, Zacharias, 1994. "A comparison of tests of linear hypotheses in cointegrated vector autoregressive models," Economics Letters, Elsevier, vol. 45(2), pages 137-144, June.
- Podivinsky, Jan M., 1992. "Small sample properties of tests of linear restrictions on cointegrating vectors and their weights," Economics Letters, Elsevier, vol. 39(1), pages 13-18, May.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Giacomini, Raffaella & Politis, Dimitris N. & White, Halbert, 2013.
"A Warp-Speed Method For Conducting Monte Carlo Experiments Involving Bootstrap Estimators,"
Cambridge University Press, vol. 29(03), pages 567-589, June.
- Raffaella Giacomini & Dimitris N. Politis & Halbert White, 2012. "A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators," CeMMAP working papers CWP11/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Takamitsu Kurita, 2009. "A note on small-sample correction for hypothesis testing on cointegrating vectors: recursive Monte Carlo analysis," Economics Bulletin, AccessEcon, vol. 29(3), pages 1588-1595.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:91:y:2006:i:3:p:330-336. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/ecolet .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.