A note on small-sample correction for hypothesis testing on cointegrating vectors: recursive Monte Carlo analysis

Takamitsu Kurita ()
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Takamitsu Kurita: Fukuoka University

Economics Bulletin, 2009, vol. 29, issue 3, 1588-1595

Abstract: This note conducts recursive Monte Carlo experiments on the Bartlett correction for a likelihood-based test on cointegrating vectors. The experiments show that the correction can reduce size distortions even in situations where regularity conditions for I(1) cointegration analysis are satisfied only marginally.

Keywords: Cointegrating Vector; Small Sample; Bartlett Correction; Recursive Monte Carlo Experiment. (search for similar items in EconPapers)
JEL-codes: C3 C5 (search for similar items in EconPapers)
Date: 2009-07-02
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