Autore: Johansen, Soren
Titolo: A small sample correction for test of hypotheses on the cointegrating vector
Periodico: European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1999 - Fascicolo: 9 - Pagina iniziale: 1 - Pagina finale: 35

A correction factor, depending on sample size and parameters, is found for thè like-lihood ratio test for some linear hypotheses on thè cointegrating space in a vector autoregressive model, where thè adjustment coefficients are known. The main idea is to condition on thè common trends when making inference on thè cointegrating cocmcicnts in order to calculate thè Bartlett correction factor. Some simulation experiments illustrate thè findings.




Testo completo: http://www.iue.it/ECO/WP-Texts/ECO99-9.pdf

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