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Takamitsu Kurita
 
''A note on small-sample correction for hypothesis testing on cointegrating vectors: recursive Monte Carlo analysis''
( 2009, Vol. 29 No.3 )
 
 
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.
 
 
Keywords: Cointegrating Vector, Small Sample, Bartlett Correction, Recursive Monte Carlo Experiment.
JEL: C3 - Time-Series Models
C5 - Econometric Modeling: General
 
Manuscript Received : May 29 2009 Manuscript Accepted : Jul 02 2009

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