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), pp. 13-18. (doi:10.1016/0165-1765(92)90093-E).

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Description/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.

Item Type: Article
Digital Object Identifier (DOI): doi:10.1016/0165-1765(92)90093-E
ISSNs: 0165-1765 (print)
Subjects:
ePrint ID: 64427
Date :
Date Event
May 1992Published
Date Deposited: 12 Jan 2009
Last Modified: 16 Apr 2017 17:20
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/64427

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