A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS
Johansen, Søren; Johansen Søren; European University Institute; European University Institute
Журнал:
Econometric Theory
Дата:
2000
Аннотация:
Likelihood ratio tests for restrictions on cointegrating vectors are asymptotically χ<sup>2</sup> 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.
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