Bartlett corrections in cointegration testing

DOI10.1016/S0167-9473(98)00105-4zbMath0942.62103OpenAlexW2029227693MaRDI QIDQ1960594

Rolf Larsson, Tor Jacobson

Publication date: 12 January 2000

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(98)00105-4

zbMATH Keywords

Monte Carlo simulationBartlett correctioncointegration testing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (1)

Approximate Conditional Unit Root Inference

Cites Work

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• On the bias of the least squares estimator for the first order autoregressive process
• Statistical analysis of cointegration vectors
• On the asymptotic expectations of some unit root tests in a first order autoregressive process in the presence of trend
• On the non-existence of a Bartlett correction for unit root tests
• The order of the error term for moments of the log likelihood ratio unit root test in an autoregressive process
• Cointegration tests in the presence of structural breaks
• Testing For Unit Roots: 1
• The moments of products of quadratic forms in normal variables
• Bartlett Corrections for Unit Root Test Statistics
• Miscellanea. Bartlett correction of the unit root test in autoregressive models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Moments of the Limiting Distribution for the Boundary Case in the First Order Autoregressive Process
• Properties of sufficiency and statistical tests
• The bootstrap and Edgeworth expansion
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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