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

By SÃ¸ren Johansen. 2002

408 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b5b61875bf7657c6504acc9900e88a163527a465

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Citations in the corpus

Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models (2014, methodology): “These are particularly useful results since the Bartlett-corrected rank tests of Johansen (2002), which constitute an alternative approach to the bootstrap to improve the nite sample properties of the tests, are not appropriate when the errors are heteroskedastic.”
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY (2010, positive): “…in that we are allowing for conditional heteroskedasticity in the innovation process driving the VAR model.6 In Sections 5.1 and 5.2 we follow Johansen (2002) and Swensen (2006) and consider as our simulation data generating procedure (DGP) an I (1), possibly cointegrated, VAR(1) process of…”
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility (2010, positive): “As in Johansen (2002) and Swensen (2006), we consider as our simulation DGP an I (1) V AR (1) process where we set the dimension of the VAR process to p = 5 , and consider both the case of no co-integration ( r = 0 ) and of a single co-integrating vector ( r = 1 ).”
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (2010, neutral): “MLEs (α̂, β̂, Ψ̂∗, Ω̂) for given ψ, and the partially maximized likelihood or likelihood profile, `T,r(ψ) = −2T−1 logLT (d, b, α̂, β̂, Ψ̂∗, Ω̂), (15)”
Are There Oil Currencies? The Real Exchange Rate of Oil Exporting Countries (2007, positive): “The first test – the small sample corrected Johansen trace* test (Johansen 2000, 2002) – is a likelihood ratio test, which computes the Bartlett correction factor thus giving a better approximation of the finite sample distribution of the statistic.”
On the Causal Links between FDI and Growth in Developing Countries (2006, positive): “ing the likelihood ratio test is that Johansen (2002, 2003) has developed a small sample cor-”
Explaining Cointegration Analysis: Part II (2000, background): “See, for instance, Johansen (2000) for analytical results, and Jorgensen (2000) for Monte Carlo results.”
Are REITs Real Estate? Evidence from International Sector Level Data (2012, positive): “Because asymptotic distributions can be rather bad approximations of the finite sample distributions, the Bartlett small sample corrected values suggested by Johansen (2002) are employed.”
The Long-Run Dynamics between Direct and Securitized Real Estate (2011, methodology): “Because asymptotic distributions can be rather bad approximations of the finite sample distributions, the Bartlett small sample corrected values suggested by Johansen (2002) are employed.”
Tests for Cointegration Breakdown Over a Short Time Period (2006, background): “Examples include the tests of Hansen (1992), Quintos and Phillips (1993), Quintos (1997), Hansen and Johansen (1999), and Kim (1999).”