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

Small sample properties of tests of linear restrictions on cointegrating vectors and their weights
Small sample properties of tests of linear restrictions on cointegrating vectors and their weights
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.
0165-1765
13-18
Podivinsky, Jan M.
68b5a6e8-9d09-4a3e-97b2-4a9e4f1efbb9
Podivinsky, Jan M.
68b5a6e8-9d09-4a3e-97b2-4a9e4f1efbb9

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).

Record type: Article

Abstract

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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Published date: May 1992

Identifiers

Local EPrints ID: 64427
URI: https://eprints.soton.ac.uk/id/eprint/64427
ISSN: 0165-1765
PURE UUID: fd96a356-75fa-455d-adb7-35d6baa0731e
ORCID for Jan M. Podivinsky: ORCID iD orcid.org/0000-0002-4921-1189

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Date deposited: 12 Jan 2009
Last modified: 24 May 2019 00:40

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