Testing structural hypotheses on cointegration relations with small samples.

This study examines the finite-sample bias of Johansen's {1991} likelihood ratio tests for structural hypotheses on cointegration relations among economic variables through the Monte Carlo experiments. It is found that the Johansen tests with small samples are biased toward rejecting the null hypoth...

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Detalles Bibliográficos

Publicado en:	Economic Inquiry Vol. 38; no. 4; pp. 629 - 641
Autor principal:	Zhou, Su
Formato:	Artículo
Publicado:	Wiley-Blackwell October 2000
Materias:	Statistical sampling Statistical hypothesis testing Monte Carlo method
Acceso en línea:	Ver este registro en EBSCOhost