A Bartlett correction factor for tests on the cointegrating relations

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Standard

A Bartlett correction factor for tests on the cointegrating relations. / Johansen, Søren.

In: Econometric Theory, Vol. 16, No. 5, 2000, p. 740-778.

Research output: Contribution to journal › Journal article › Research › peer-review

Harvard

Johansen, S 2000, 'A Bartlett correction factor for tests on the cointegrating relations', Econometric Theory, vol. 16, no. 5, pp. 740-778. <http://journals.cambridge.org/action/displayIssue?jid=ECT&volumeId=16&issueId=05&iid=56104#>

APA

Johansen, S. (2000). A Bartlett correction factor for tests on the cointegrating relations. Econometric Theory, 16(5), 740-778. http://journals.cambridge.org/action/displayIssue?jid=ECT&volumeId=16&issueId=05&iid=56104#

Vancouver

Johansen S. A Bartlett correction factor for tests on the cointegrating relations. Econometric Theory. 2000;16(5):740-778.

Author

Johansen, Søren. / A Bartlett correction factor for tests on the cointegrating relations. In: Econometric Theory. 2000 ; Vol. 16, No. 5. pp. 740-778.

Bibtex

@article{af472e70ed2a11ddbf70000ea68e967b,
title = "A Bartlett correction factor for tests on the cointegrating relations",
abstract = "Likelihood ratio tests for restrictions on cointegrating vectors are asymptotically [chi]2 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.",
author = "S{\o}ren Johansen",
year = "2000",
language = "English",
volume = "16",
pages = "740--778",
journal = "Econometric Theory",
issn = "0266-4666",
publisher = "Cambridge University Press",
number = "5",

}

RIS

TY - JOUR

T1 - A Bartlett correction factor for tests on the cointegrating relations

AU - Johansen, Søren

PY - 2000

Y1 - 2000

N2 - Likelihood ratio tests for restrictions on cointegrating vectors are asymptotically [chi]2 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.

AB - Likelihood ratio tests for restrictions on cointegrating vectors are asymptotically [chi]2 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.

M3 - Journal article

VL - 16

SP - 740

EP - 778

JO - Econometric Theory

JF - Econometric Theory

SN - 0266-4666

IS - 5

ER -

ID: 9968744