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A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors

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  • Johansen, S.

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.

Suggested Citation

  • Johansen, S., 1999. "A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors," Economics Working Papers eco99/9, European University Institute.
    • Handle: RePEc:eui:euiwps:eco99/9
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    1. Tor Jacobson & Anders Vredin & Anders Warne, 1998. "Are Real Wages and Unemployment Related?," Economica, London School of Economics and Political Science, vol. 65(257), pages 69-96, February.
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    More about this item

    Keywords

    TESTING ; REGRESSION ANALYSIS ; ECONOMETRICS;
    All these keywords.

    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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