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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Year of publication:	1999
Authors:	Johansen, S.
Institutions:	Department of Economics, European University Institute
Subject:	TESTING \| REGRESSION ANALYSIS \| ECONOMETRICS

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Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Notes:	50 pages
Classification:	C12 - Hypothesis Testing ; C40 - Econometric and Statistical Methods: Special Topics. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005744329