FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION

Oxford Bulletin of Economics and Statistics

Volumn 55, Issue 3, 1993, Pages 313-328

  Cheung, Yin‐Wong ^a   Lai, Kon S ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84981676740     PISSN: 03059049     EISSN: 14680084     Source Type: Journal    
DOI: 10.1111/j.1468-0084.1993.mp55003003.x     Document Type: Article

References (22)

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5. ‘A Method for Simulating Non‐Normal Distribution’
6. ‘Developments in the Study of Cointegrated Economic Variables’
7. ‘Statistical Analysis of Cointegration Vectors’
8. ‘Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models’
9. ‘Maxiumum Likelihood Estimation and Inference on Cointegration — With Applications to the Demand for Money’
10. ‘The Behaviour of Inconsistent Instrumental Variables Estimators in Dynamic Systems with Autocorrelated Errors’
11. ‘Monte Carlo Methodology and the Small Sample Behaviour of Ordinary and Two‐Stage Least Squares’
12. ‘The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems’
13. ‘Critical Values for Cointegration Tests’
14. ‘Response Surface Methodology: 1966–1988’
15. ‘Optimal Inference in Cointegrated Systems’
16. ‘Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors’
17. ‘Testing for Common Trends’
18. ‘Reduced Rank Models for Multiple Time Series’