Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/11549
Title: A note on Bartlett correction factor for tests on cointegrating relations
Authors: Canepa, A
Keywords: Cointegration;Bartlett correction factor;Bootstrap method
Issue Date: 2015
Publisher: Elsevier
Citation: Statistics and Probability Letters, (2015)
Abstract: In this paper it is proposed to use a non-parametric bootstrap based Bartlett correction factor for the LR test for linear restrictions on the cointegrating vectors to reduce the finite sample size distortion problem of the test statistic.
URI: http://www.sciencedirect.com/science/article/pii/S0167715215003429
http://bura.brunel.ac.uk/handle/2438/11549
DOI: http://dx.doi.org/10.1016/j.spl.2015.09.025
ISSN: 0167-7152
Appears in Collections:Dept of Economics and Finance Research Papers

Files in This Item:
File Description SizeFormat 
Fulltext.pdf1.53 MBAdobe PDFView/Open


Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.