Title of article
Small sample corrections for linear restrictions on cointegrating vectors: A Monte Carlo comparison
Author/Authors
Alessandra Canepa، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2006
Pages
7
From page
330
To page
336
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.
Keywords
Bootstrapping , cointegration , Monte Carlo
Journal title
Economics Letters
Serial Year
2006
Journal title
Economics Letters
Record number
435939
Link To Document