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.
| Original language | English |
|---|---|
| Journal | Econometric Theory |
| Volume | 16 |
| Issue number | 5 |
| Pages (from-to) | 740-778 |
| Number of pages | 39 |
| ISSN | 0266-4666 |
| Publication status | Published - 2000 |