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A small sample correction for tests of hypotheses on the cointegrating vectors

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  • Johansen, Soren

Abstract

A correction factor, depending on sample size and parameters, is found for the likelihood ratio test for some linear hypotheses on the cointegrating space in a vector autoregressive model, where the adjustment coefficients are known. The main idea is to condition on the common trends when making inference on the cointegrating coefficients in order to calculate the Bartlett correction factor. Some simulation experiments illustrate the findings.
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  • Johansen, Soren, 2002. "A small sample correction for tests of hypotheses on the cointegrating vectors," Journal of Econometrics, Elsevier, vol. 111(2), pages 195-221, December.
    • Handle: RePEc:eee:econom:v:111:y:2002:i:2:p:195-221
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    More about this item

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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