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Small sample corrections for linear restrictions on cointegrating vectors: A Monte Carlo comparison

Authors
Publisher
Elsevier B.V.
Publication Date
Volume
91
Issue
3
Identifiers
DOI: 10.1016/j.econlet.2005.12.011
Keywords
  • Bootstrapping
  • Cointegration
  • Monte Carlo
Disciplines
  • Mathematics

Abstract

Abstract This paper compares the performance of a number of small sample corrections for Johansen [Johansen, S. (1996). Likelihood Inference in Cointegrated Vector Auto-Regressive Models. Oxford University Press, Oxford.] likelihood ratio and Wald tests for linear restrictions of cointegrating vectors with the performance of the bootstrap test.

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