A Bartlett correction factor for tests on the cointegrating relations

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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.
Original languageEnglish
JournalEconometric Theory
Volume16
Issue number5
Pages (from-to)740-778
Number of pages39
ISSN0266-4666
Publication statusPublished - 2000

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