Template-type: ReDIF-Paper 1.0
Author-Name: Canepa, Alessandra
Author-Email: alessandra.canepa@unito.it
Author-Workplace-Name: University of Turin
Author-Workplace-Homepage: http://www.est.unito.it/
Title: Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors
Abstract: Johansen (2000) Bartlett correction factor for the LR test of linear restrictions on cointegrated vectors is 
derived under the i.i.d. Gaussian assumption for the innovation terms. However, the distribution of most data relating 
to financial variables are fat-tailed and often skewed, there is therefore a need to examine small sample inference 
procedures that require weaker assumptions for the innovation term. This paper suggests that using a non-parametric 
bootstrap to approximate a Bartlett-type correction provides a statistic that does not require specification of the 
innovation distribution and can be used by applied econometricians to perform a small sample inference procedure that 
is less computationally demanding than estimating the p-value of the observed statistic.
Length: pages 38
Creation-Date: 2021-03
File-URL: https://www.est.unito.it/do/home.pl/Download?doc=/allegati/wp2021dip/wp_08_2021.pdf
File-Format: Application/PDF
Handle: RePEc:uto:dipeco:202108