A note on Bartlett correction factor for tests on cointegrating relations
Alessandra Canepa ()
Statistics & Probability Letters, 2016, vol. 110, issue C, 296-304
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)
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