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

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dc.contributor.authorJOHANSEN, Soren
dc.date.accessioned2011-04-19T12:48:10Z
dc.date.available2011-04-19T12:48:10Z
dc.date.issued2002
dc.description.abstractThe 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.description.versionThe article is a published version of EUI ECO WP; 1999/09
dc.identifier.citationJournal of Econometrics, 2002, 111, 2, 195-221
dc.identifier.doi10.1016/S0304-4076(02)00104-5
dc.identifier.endpage221
dc.identifier.issn0304-4076
dc.identifier.issue2
dc.identifier.startpage195
dc.identifier.urihttps://hdl.handle.net/1814/16512
dc.identifier.volume111
dc.language.isoen
dc.publisherElsevieren
dc.relation.isbasedonhttp://hdl.handle.net/1814/694
dc.subjectVAR model
dc.subjectCointegration
dc.subjectSmall sample properties
dc.subjectBartlett correction
dc.subjectLikelihood ratio test
dc.subjecttest on cointegrating relations
dc.titleA Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors
dc.typeArticle
dspace.entity.typePublication
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