A bartlett correction factor for tests on the cointegrating relations

Econometric Theory

Volumn 16, Issue 5, 2000, Pages 740-778

  Johansen, Søren ^a  

^a EUROPEAN UNIVERSITY INSTITUTE   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0034357350     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466600165065     Document Type: Article

References (13)

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3. Chan, N.H. & C.Z. Wei (1988) Limiting distributions of least squares estimators of unstable autoregressive processes. Annals of Statistics 16, 367-401.
4. Cribari-Neto, F. & G. Cordeiro (1996) On Bartlett and Bartlett-type corrections. Econometric Reviews 15, 339-367.
5. Fachin, S. (1997) Bootstrap and Asymptotic Tests of Long-Run Relationships in Cointegrated Systems. Discussion paper, University of Rome.
6. Gredenhoff, M. & T. Jacobson (1998) Bootstrap testing and approximate finite sample distributions for test of linear restrictions on cointegrating vectors. Journal of Business and Economics Statistics, forthcoming.
7. Haug, A. (1998) Testing Linear Restrictions on Cointegrating Vectors: Size and Power of Wald Tests in Finite Samples. Discussion paper, University of Canterbury.
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9. Jacobson, T., A. Vredin, & A. Warne (1998) Are real wages and unemployment related? Economica 65, 69-96.
10. Johansen, S. (1996) Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford: Oxford University Press.
11. Johansen, S. (1999) A small sample correction for test of hypotheses on the cointegrating vectors. Journal of Econometrics, forthcoming.
12. Johansen, S. & K. Juselius (1990) Maximum likelihood estimation and inference on cointegration - with applications to the demand for money. Oxford Bulletin of Economics and Statistics 52, 169-210.
13. Lawley, D.N. (1956) A general method for approximating to the distribution of likelihood ratio criteria. Biometrika 43, 296-303.