A Bartlett Correction Factor for Tests On the Cointegrating Relations
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0266-4666
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Econometric Theory, 2000, 16, 5, 740-778
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JOHANSEN, Soren, A Bartlett Correction Factor for Tests On the Cointegrating Relations, Econometric Theory, 2000, 16, 5, 740-778 - https://hdl.handle.net/1814/16766
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.
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The article is a published version of EUI ECO WP; 1999/10