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| Takamitsu Kurita |
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| ''A note on small-sample correction for hypothesis testing on cointegrating vectors: recursive Monte Carlo analysis'' |
| ( 2009, Vol. 29 No.3 ) |
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| This note conducts recursive Monte Carlo experiments on the Bartlett correction for a likelihood-based test on cointegrating vectors. The experiments show that the correction can reduce size distortions even in situations where regularity conditions for I(1) cointegration analysis are satisfied only marginally. |
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| Keywords: Cointegrating Vector, Small Sample, Bartlett Correction, Recursive Monte Carlo Experiment. |
JEL: C3 - Time-Series Models
C5 - Econometric Modeling: General |
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| Manuscript Received : May 29 2009 | | Manuscript Accepted : Jul 02 2009 |
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