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...
| Publicado en: | Economic Inquiry Vol. 38; no. 4; pp. 629 - 641 |
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| Formato: | Artículo |
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Wiley-Blackwell
October 2000
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| Acceso en línea: | Ver este registro en EBSCOhost |