Jacobson, Tor; Larsson, Rolf - Economics Institute for Research (SIR), … - 1996
When testing for cointegration, the asymptotic inference typically in use can be plagued by size distortion due to an … key issue. We explore the potentials of Bartlett correction of two cointegration test statistics. The idea is to multiply … thereof, for testing the null hypothesis of no cointegration. Suitable Bartlett corrections for the two tests are suggested …