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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.
ISSN: 0167-7152
Appears in Collections:Dept of Economics and Finance Research Papers

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