A small sample correction for the test of cointegrating rank in the vector autoregressive model

Econometrica

Volumn 70, Issue 5, 2002, Pages 1929-1961

  Johansen, Søren ^a  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Bartlett correction; Cointegration; Rank determination; Small sample properties; Trace statistic

Indexed keywords

APPROXIMATION THEORY; COMPUTER SIMULATION; MATHEMATICAL MODELS; PARAMETER ESTIMATION; REGRESSION ANALYSIS; STATISTICS; VECTORS;

TRACE STATISTICS;

ECONOMICS;

EID: 0036377638     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0262.00358     Document Type: Article

References (27)

1. The influence of VAR dimension on estimator biases
2. Estimation for partially nonstationary multivariate autoregressive models
3. Estimating linear restrictions on regression coefficients for multivariate normal distributions
4. Properties of sufficiency and statistical tests
5. On statistics independent of a complete sufficient statistic
6. A correction factor for unit root test statistics
7. Finite sample sizes of johansens likelihood ratio tests for cointegration
8. The influence of VAR dimension on estimator biases: Comment
9. Co-integration and error correction: Representation, estimation, and testing
10. Dimensionality effect in cointegration analysis
11. Approximate conditional unit root inference
12. Tests for cointegration: A Monte Carlo comparison
13. Bartlett correction in cointegration testing
14. On the Non-existence of a bartlett correction for unit root tests
15. Statistical analysis of cointegration vectors
16. The power function of the likelihood ratio test for cointegration
17. A bartlett correction factor for tests on the cointegrating relations
18. A small sample correction for tests of hypotheses on the cointegrating vectors
19. On the asymptotic expectations of some unit root tests in a first order autoregressive process in the presence of trend
20. Bartlett corrections for unit root test statistics
21. A general method for approximating the distribution of likelihood ratio criteria
22. Bartlett correction of the unit root test in autoregressive models
23. Comparison of tests for multivariate cointegration
24. Finite sample performance of likelihood ratio tests for cointegrating rank in vector autoregressions