A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS

Søren Johansen

172 citations0/0 files storedEconometric Theory

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Monetary Policy and Economic Impact Statistical and numerical algorithms Diverse Scientific and Economic Studies

Abstract

Likelihood ratio tests for restrictions on cointegrating vectors are asymptotically χ2 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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1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

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