A small sample correction for tests of hypotheses on the cointegrating vectors

Journal of Econometrics

Volumn 111, Issue 2, 2002, Pages 195-221

  Johansen, Søren ^a  

^a EUROPEAN UNIVERSITY INSTITUTE   (Italy)

Author keywords

Bartlett correction; Cointegration; Likelihood ratio test; Small sample properties; Test on cointegrating relations; VAR model

Indexed keywords

APPROXIMATION THEORY; ASYMPTOTIC STABILITY; COMPUTER SIMULATION; ECONOMICS; ERROR CORRECTION; INFERENCE ENGINES; MATHEMATICAL MODELS; MAXIMUM LIKELIHOOD ESTIMATION; PARAMETER ESTIMATION; PROBLEM SOLVING; VECTORS;

COINTEGRATION; LIKELIHOOD RATIO TEST;

INTEGRATION;

EID: 0344407621     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(02)00104-5     Document Type: Conference Paper

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