Podivinsky, Jan M.
Small sample properties of tests of linear restrictions on cointegrating vectors and their weights.
Economics Letters, 39, (1), . (doi:10.1016/0165-1765(92)90093-E).
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The simulation analysis conducted here indicates that the asymptotic ?2 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.
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