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).
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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.
|Subjects:||H Social Sciences > HB Economic Theory|
|Divisions:||University Structure - Pre August 2011 > School of Social Sciences > Economics
|Date Deposited:||12 Jan 2009|
|Last Modified:||02 Mar 2012 12:13|
|Contributors:||Podivinsky, Jan M. (Author)
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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