A Bartlett Correction Factor for Tests on the Cointegrating Relations
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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|Date of creation:||1999|
|Date of revision:|
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