A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model.

We derive an approximation to the expectation of the likelihood tatio test for cointegration in the vector autoregressive model. The expression depends on moments of functions of random walk, which are tabulated by simulation, and functions of the parameters, which are estimated. From this approximation we propose a correction factor with the purpose of improving the small sample performance of the test.

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Year of publication:	2000
Authors:	Johansen, S.
Institutions:	Department of Economics, European University Institute
Subject:	TESTS \| MODELS \| MATHEMATICS

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Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Notes:	35 pages
Classification:	C52 - Model Evaluation and Testing ; C31 - Cross-Sectional Models; Spatial Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005557708