A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS

By Søren Johansen. Econometric Theory, 2000

175 citations recorded by the source corpus.

Likelihood ratio tests for restrictions on cointegrating vectors are asymptotically χ2 distributed. For some values of the parameters this asymptotic distribution does not give a good approximation to the finite sample distribution. In this paper we derive the Bartlett correction factor for the likelihood ratio test and show by some simulation experiments that it can be a useful tool for making inference.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/c02571ba86b71a6cec7eb2d0f08c71a71b0f73a1

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In Economics and Econometrics

1. Elias Oikarinen
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Citations in the corpus

• The Long-Run Dynamics between Direct and Securitized Real Estate (2011, methodology): “…(Johansen, 1996) and exclusion of the variables from the cointegrating vector is tested by the Bartlett small-sample corrected LR test reported in Johansen (2000).3 Furthermore, because of the possible structural break in the long-run dynamics due to the “new REIT era”, the stability of the…”
• Are REITs Real Estate? Evidence from International Sector Level Data (2012, unknown): “Weak exogeneity and exclusion of the variables are tested by the Bartlett small-sample corrected likelihood ratio (LR) test reported in Johansen (2000).”
• Order determination in general vector autoregressions (2001, unknown): “Inspired by Johansen [13] the deterministic terms are required to satisfy the difference equation (2.”
• Is the international propagation of financial shocks non-linear?: Evidence from the ERM (2002, unknown): “However, some care in interpreting these results must be exercised in the light of the presence of dummies, and of the results reported in Johansen (1999).”
• Are There Oil Currencies? The Real Exchange Rate of Oil Exporting Countries (2007, unknown): “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.”
• Global commodity cycles and linkages: a FAVAR approach (2011, unknown): “In each of these 15 VARs, we conduct cointegration tests, using Bartlett-corrected critical values (Johansen 2000).”
• Bayesian Inference of General Linear Restrictions on the Cointegration Space (2007, unknown): “Johansen (2000) uses the invariance of the likelihood ratio test (LRT) under linear transformation of the time series to nd a canonical form of this process suitable for simulation studies.”
• 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”