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http://bura.brunel.ac.uk/handle/2438/11549| Title: | A note on Bartlett correction factor for tests on cointegrating relations |
| Authors: | Canepa, A |
| Keywords: | Cointegration;Bartlett correction factor;Bootstrap method |
| Issue Date: | 2015 |
| Publisher: | Elsevier |
| Citation: | Statistics and Probability Letters, (2015) |
| Abstract: | In this paper it is proposed to use a non-parametric bootstrap based Bartlett correction factor for the LR test for linear restrictions on the cointegrating vectors to reduce the finite sample size distortion problem of the test statistic. |
| URI: | http://www.sciencedirect.com/science/article/pii/S0167715215003429 http://bura.brunel.ac.uk/handle/2438/11549 |
| DOI: | http://dx.doi.org/10.1016/j.spl.2015.09.025 |
| ISSN: | 0167-7152 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Fulltext.pdf | 1.53 MB | Adobe PDF | View/Open |
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