Autore
Canepa, Alessandra

Titolo
Improvement on the LR Test Statistic on the Cointegrating Relations in VAR Models: Bootstrap Methods and Applications.
Periodico
Università degli studi di Torino. Dip. Di Economia e Statistica Cognetti de Martiis. Working paper series
Anno: 2020 - Volume: 2 - Fascicolo: 7 - Pagina iniziale: 1 - Pagina finale: 32

A Bartlett corrected likelihood ratio test for linear restrictions on the cointegrating relations is examined in Johansen (2000). Simulation results show that the performance of the corrected LR test statistic is highly dependent on the values of the parameters of the model. In order to reduce this dependency, it is proposed that the ?nite sample expectation of the LR test be estimated using the bootstrap. It is found that the bootstrap Bartlett correction often succeeds in this task.



Testo completo: https://www.est.unito.it/do/home.pl/Download?doc=/allegati/wp2020dip/wp_07_2020.pdf

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