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

Record type: Article

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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Citation

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

More information

Published date: May 1992

Identifiers

Local EPrints ID: 64427
URI: http://eprints.soton.ac.uk/id/eprint/64427
ISSN: 0165-1765
PURE UUID: fd96a356-75fa-455d-adb7-35d6baa0731e

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Date deposited: 12 Jan 2009
Last modified: 17 Jul 2017 14:13

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