Hostname: page-component-6bf8c574d5-qdpjg Total loading time: 0 Render date: 2025-02-19T08:48:01.229Z Has data issue: false hasContentIssue false
  • English
  • Français

A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS

Published online by Cambridge University Press:  05 October 2000

Søren Johansen
Søren Johansen
Affiliation:
European University Institute
Get access Rights & Permissions [Opens in a new window]

Abstract

Likelihood ratio tests for restrictions on cointegrating vectors are asymptotically χ2 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.

Type
Research Article
Information
Econometric Theory , Volume 16 , Issue 5 , October 2000 , pp. 740 - 778
Copyright
© 2000 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)