A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS

Soren Johansen

Econometric Theory, 2000, vol. 16, issue 5, 740-778

Abstract: Likelihood ratio tests for restrictions on cointegrating vectors are asymptotically χ2 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.

Date: 2000
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Working Paper: A Bartlett Correction Factor for Tests on the Cointegrating Relations (1999)
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