A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors
License
Cadmus Permanent Link
Full-text via DOI
ISBN
ISSN
0304-4076
Issue Date
Type of Publication
LC Subject Heading
Other Topic(s)
EUI Research Cluster(s)
Initial version
Published version
Succeeding version
Preceding version
Published version part
Earlier different version
Initial format
Author(s)
Citation
Journal of Econometrics, 2002, 111, 2, 195-221
Cite
JOHANSEN, Soren, A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors, Journal of Econometrics, 2002, 111, 2, 195-221 - https://hdl.handle.net/1814/16512
Abstract
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.
Table of Contents
Additional Information
External Links
Publisher
Version
The article is a published version of EUI ECO WP; 1999/09