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Browsing ECO Articles by Subject "test on cointegrating relations"
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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. ...