A Bartlett correction factor for tests on the cointegrating relations

Publikation: Bidrag til tidsskriftTidsskriftartikelfagfællebedømt

Dokumenter

  • PDF

    Forlagets udgivne version, 243 KB, PDF-dokument

Likelihood ratio tests for restrictions on cointegrating vectors are asymptotically [chi]2 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.
OriginalsprogEngelsk
TidsskriftEconometric Theory
Vol/bind16
Udgave nummer5
Sider (fra-til)740-778
Antal sider39
ISSN0266-4666
StatusUdgivet - 2000

Antal downloads er baseret på statistik fra Google Scholar og www.ku.dk


Ingen data tilgængelig

ID: 9968744