A Bartlett correction factor for tests on the cointegrating relations
Research output: Contribution to journal › Journal article › Research › peer-review
Standard
A Bartlett correction factor for tests on the cointegrating relations. / Johansen, Søren.
In: Econometric Theory, Vol. 16, No. 5, 2000, p. 740-778.Research output: Contribution to journal › Journal article › Research › peer-review
Harvard
APA
Vancouver
Author
Bibtex
}
RIS
TY - JOUR
T1 - A Bartlett correction factor for tests on the cointegrating relations
AU - Johansen, Søren
PY - 2000
Y1 - 2000
N2 - Likelihood ratio tests for restrictions on cointegrating vectors are asymptotically [chi]2 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.
AB - Likelihood ratio tests for restrictions on cointegrating vectors are asymptotically [chi]2 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.
M3 - Journal article
VL - 16
SP - 740
EP - 778
JO - Econometric Theory
JF - Econometric Theory
SN - 0266-4666
IS - 5
ER -
ID: 9968744