A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors

By Søren Johansen. 2002

95 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/676edcae77fe65664c8a88243d3d4670a09e3a6d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Paola Donati
2. Annick Bruggeman
3. Anders Warne
4. Søren Johansen
5. Elias Oikarinen
6. Muhammad Shahbaz
7. Martin Hoesli
8. Ilhan Ozturk

In Finance

1. Paola Donati
2. Annick Bruggeman
3. Anders Warne
4. Søren Johansen
5. Morten Ørregaard Nielsen
6. Elias Oikarinen
7. Martin Hoesli
8. Muhammad Shahbaz

Citations in the corpus

• A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS (2000, background): “, and M is defined in Section 2 + 1 + Note that the conditional expectation does not depend on the conditioning variable and hence equals the expectation + It will be seen from the proof that the correction term is the one derived in the situation where j is known ~ see Johansen , 1999 !”
• Is the Demand for Euro Area M3 Stable? (2003, background): “13 The analyses in Johansen (2002a, 2000) do not consider the types of linear restrictions on β that this hypothesis”