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Bartlett Correction 1 Cointegrating Vector 1 Recursive Monte Carlo Experiment 1 Small Sample 1
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English 1
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Kurita, Takamitsu 1
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Economics Bulletin 1
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A note on small-sample correction for hypothesis testing on cointegrating vectors: recursive Monte Carlo analysis
Kurita, Takamitsu - In: Economics Bulletin 29 (2009) 3, pp. 1588-1595
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...
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