A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS

B-Tier
Journal: Econometric Theory
Year: 2000
Volume: 16
Issue: 5
Pages: 740-778

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:16:y:2000:i:05:p:740-778_16
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25