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A small sample correction for tests of hypotheses on the cointegrating vectors

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  • Johansen, Soren

Abstract

A 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.
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Suggested Citation

  • 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.
  • Handle: RePEc:eee:econom:v:111:y:2002:i:2:p:195-221
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    1. Jacobson, Tor & Vredin, Anders & Warne, Anders, 1998. "Are Real Wages and Unemployment Related?," Economica, London School of Economics and Political Science, pages 69-96.
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    Cited by:

    1. 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.
    2. 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.
    3. Oumar Diallo & Boileau Loko & Kangni R Kpodar, 2007. "Buoyant Capital Spending and Worries over Real Appreciation; Cold Facts from Algeria," IMF Working Papers 07/286, International Monetary Fund.
    4. 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.
    5. Guillaume Chevillon, 2017. "Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming," Econometric Reviews, Taylor & Francis Journals, pages 514-545.
    6. Chevillon, Guillaume, 2007. "Inference in the Presence of Stochastic and Deterministic Trends," ESSEC Working Papers DR 07021, ESSEC Research Center, ESSEC Business School.
    7. 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.
    8. 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.
    9. Zanetti Chini, Emilio, 2010. "Does the purchasing power parity hypothesis hold after 1998?," MPRA Paper 27225, University Library of Munich, Germany.
    10. Christian Dreger & Dieter Gerdesmeier & Barbara Roffia, 2016. "Re-vitalizing Money Demand in the Euro Area: Still Valid at the Zero Lower Bound," Discussion Papers of DIW Berlin 1606, DIW Berlin, German Institute for Economic Research.
    11. Pedro M G Martins, "undated". "Fiscal Dynamics in Ethiopia: A Cointegrated VAR Model with Quarterly Data," Discussion Papers 10/05, University of Nottingham, CREDIT.
    12. Bwire, Thomas & Lloyd, Tim & Morrissey, Oliver, 2013. "Foreign Aid, Public Sector and Private Consumption: A Cointegrated Vector Autoregressive Approach," WIDER Working Paper Series 094, World Institute for Development Economic Research (UNU-WIDER).
    13. Elias Oikarinen & Martin Hoesli & Camilo Serrano, 2013. "Do Public Real Estate Returns Really Lead Private Returns?," ERES eres2013_145, European Real Estate Society (ERES).
    14. Bjørnar Kivedal, 2014. "A DSGE model with housing in the cointegrated VAR framework," Empirical Economics, Springer, pages 853-880.
    15. Charles Yuji Horioka & Akiko Terada-Hagiwara, 2016. "The Impact of Pre-marital Sex Ratios on Household Saving in Two Asian Countries: The Competitive Saving Motive Revisited," ISER Discussion Paper 0975, Institute of Social and Economic Research, Osaka University.
    16. repec:hal:journl:hal-00914830 is not listed on IDEAS
    17. Bwire, Thomas & Lloyd, Tim & Morrissey, Oliver, 2013. "A Timeseries Analysis of the Impact of Foreign Aid on Central Government's Fiscal Budget in Uganda," WIDER Working Paper Series 101, World Institute for Development Economic Research (UNU-WIDER).
    18. 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.
    19. 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.
    20. repec:ire:issued:v:20:n:03:2017:p:287-324 is not listed on IDEAS
    21. repec:bla:coecpo:v:35:y:2017:i:2:p:392-413 is not listed on IDEAS

    More about this item

    JEL classification:

    • 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

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