A note on small-sample correction for hypothesis testing on cointegrating vectors: recursive Monte Carlo analysis

This note conducts recursive Monte Carlo experiments on the Bartlett correction for a likelihood-based test on cointegrating vectors. The experiments show that the correction can reduce size distortions even in situations where regularity conditions for I(1) cointegration analysis are satisfied only marginally.

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Year of publication:	2009
Authors:	Kurita, Takamitsu
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 29.2009, 3, p. 1588-1595
Publisher:	AccessEcon
Subject:	Cointegrating Vector \| Small Sample \| Bartlett Correction \| Recursive Monte Carlo Experiment

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C5 - Econometric Modeling
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008562943