JavaScript is disabled for your browser. Some features of this site may not work without it.
Browsing Department of Economics (ECO) by Subject "test on cointegrating relations"
Now showing items 1-1 of 1
Title:A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors
Author(s):JOHANSEN, SorenDate:2002Type of Publication:ArticleAbstract: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. ...