Autore: Johansen, Soren
Titolo: A Bartlett correction factor for tests on thè cointegrating relations
Periodico: European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1999 - Fascicolo: 10 - Pagina iniziale: 1 - Pagina finale: 50

Likelihood ratio tests for restrictions on cointegrating vectors are asymptotically x2 distributed. For some values of thè parameters this asymptotic distribution does not give a good approximation to thè finite sample distribution. In this paper we derive thè Bartlett correction factor for thè likelihood ratio test and show by some simulation experiments that it can be a useful tool for making inference.


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Testo completo: http://www.iue.it/ECO/WP-Texts/ECO99-10.pdf

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