A Bartlett correction factor for tests on the cointegrating relations

Søren Johansen

A Bartlett correction factor for tests on the cointegrating relations

87 Citationer (Scopus)

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Abstract

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.

Originalsprog	Engelsk
Tidsskrift	Econometric Theory
Vol/bind	16
Udgave nummer	5
Sider (fra-til)	740-778
Antal sider	39
ISSN	0266-4666
Status	Udgivet - 2000

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Citationsformater

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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.

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EP - 778

JO - Econometric Theory

JF - Econometric Theory

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A Bartlett correction factor for tests on the cointegrating relations

Abstract

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