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A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model

  • Johansen, S.

We derive an approximation to the expectation of the likelihood tatio test for cointegration in the vector autoregressive model. The expression depends on moments of functions of random walk, which are tabulated by simulation, and functions of the parameters, which are estimated. From this approximation we propose a correction factor with the purpose of improving the small sample performance of the test.

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Paper provided by European University Institute in its series Economics Working Papers with number eco2000/15.

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Length: 35 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:eui:euiwps:eco2000/15
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