A small sample correction for tests of hypotheses on the cointegrating vectors
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Publication:1867739
DOI10.1016/S0304-4076(02)00104-5zbMath1016.62100MaRDI QIDQ1867739
Publication date: 2 April 2003
Published in: Journal of Econometrics (Search for Journal in Brave)
likelihood ratio testcointegrationBartlett correctionsmall sample propertiesVAR modeltest on cointegrating relations
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15)
Related Items
Expansions for the distribution of asymptotically chi-square statistics ⋮ Revealing unnoticed properties of super exogeneity in a cointegrated vector autoregression ⋮ The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors ⋮ Inference of seasonal cointegration with linear restrictions ⋮ ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY ⋮ Estimation bias and bias correction in reduced rank autoregressions ⋮ Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming
Cites Work
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