A Bartlett Correction Factor for Tests on the Cointegrating Relations

Soren Johansen

Economics Working Papers from European University Institute

Abstract: Likelihood ratio tests for restrictions on contegrating vectors are asymptotically X2 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.

Keywords: TESTING; REGRESSION ANALYSIS; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C12 C40 (search for similar items in EconPapers)
Pages: 50 pages
Date: 1999
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Citations: View citations in EconPapers (15)

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Journal Article: A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:eui:euiwps:eco99/10

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