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dc.contributor.authorJOHANSEN, Soren
dc.date.accessioned2011-04-20T14:03:42Z
dc.date.available2011-04-20T14:03:42Z
dc.date.issued2000
dc.identifier.citationEconometric Theory, 2000, 16, 5, 740-778
dc.identifier.issn0266-4666
dc.identifier.urihttp://hdl.handle.net/1814/16766
dc.description.abstractLikelihood 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.
dc.titleA Bartlett Correction Factor for Tests On the Cointegrating Relations
dc.typeArticle
dc.neeo.contributorJOHANSEN|Soren|aut|
dc.identifier.volume16
dc.identifier.startpage740
dc.identifier.endpage778
eui.subscribe.skiptrue
dc.identifier.issue5


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