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A note on Bartlett correction factor for tests on cointegrating relations

Alessandra Canepa ()

Statistics & Probability Letters, 2016, vol. 110, issue C, 296-304

Abstract: In this paper it is proposed to use a non-parametric bootstrap based Bartlett correction factor for the LR test for linear restrictions on the cointegrating vectors to reduce the finite sample size distortion problem of the test statistic.

Keywords: Cointegration; Bartlett correction factor; Bootstrap method (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.spl.2015.09.025

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