Small sample properties of tests of linear restrictions on cointegrating vectors and their weights


Podivinsky, Jan M. (1992) Small sample properties of tests of linear restrictions on cointegrating vectors and their weights. Economics Letters, 39, (1), 13-18. (doi:10.1016/0165-1765(92)90093-E).

Download

Full text not available from this repository.

Description/Abstract

The simulation analysis conducted here indicates that the asymptotic χ2 LR tests of linear restrictions upon the elements of cointegrating vectors and their weights proposed by Johansen (1988) and Johansen and Juselius (1990) have rather poor size properties. We propose alternative approximate F-type tests, and show that they typically have more favourable size properties.

Item Type: Article
ISSNs: 0165-1765 (print)
Related URLs:
Subjects: H Social Sciences > HB Economic Theory
Divisions: University Structure - Pre August 2011 > School of Social Sciences > Economics
ePrint ID: 64427
Date Deposited: 12 Jan 2009
Last Modified: 27 Mar 2014 18:46
URI: http://eprints.soton.ac.uk/id/eprint/64427

Actions (login required)

View Item View Item