Article ID Journal Published Year Pages File Type
5062818 Economics Letters 2006 7 Pages PDF
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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Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Small sample corrections for linear restrictions on cointegrating vectors: A Monte Carlo comparison
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