A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors
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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|Date of creation:||1999|
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Economics Working Papers
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