A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors
Journal of Econometrics, 2002, 111, 2, 195-221
JOHANSEN, Soren, A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors, Journal of Econometrics, 2002, 111, 2, 195-221 - http://hdl.handle.net/1814/16512
Retrieved from Cadmus, EUI Research Repository
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. 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.
Cadmus permanent link: http://hdl.handle.net/1814/16512
Full-text via DOI: 10.1016/S0304-4076(02)00104-5
Publisher: Elsevier Science Sa
Keyword(s): VAR model cointegration small sample properties Bartlett correction likelihood ratio test test on cointegrating relations
Earlier different version: http://hdl.handle.net/1814/694
Version: The article is a published version of EUI ECO WP; 1999/09
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