A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors

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dc.contributor.author JOHANSEN, Soren
dc.date.accessioned 2011-04-19T12:48:10Z
dc.date.available 2011-04-19T12:48:10Z
dc.date.issued 2002
dc.identifier.citation Journal of Econometrics, 2002, 111, 2, 195-221
dc.identifier.issn 0304-4076
dc.identifier.uri http://hdl.handle.net/1814/16512
dc.description.abstract The main purpose of the analysis of the cointegrated VAR model is conducting inference on the cointegrating relations. Asymptotic inference is chi(2), but the asymptotic results are not accurate enough for small samples. Therefore, we derive here a correction factor, depending on sample size and parameters, for the likelihood ratio test of some linear hypotheses on the cointegrating space in a vector autoregressive model. We have to assume that the adjustment coefficients are known. The main idea is to condition on the common trends when calculating the correction factor. Some simulation experiments illustrate the findings.
dc.language.iso en
dc.publisher Elsevier Science Sa
dc.subject VAR model
dc.subject cointegration
dc.subject small sample properties
dc.subject Bartlett correction
dc.subject likelihood ratio test
dc.subject test on cointegrating relations
dc.title A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors
dc.type Article
dc.neeo.contributor JOHANSEN|Soren|aut|
dc.identifier.volume 111
dc.identifier.startpage 195
dc.identifier.endpage 221
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dc.identifier.issue 2

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