A COMPARISON OF TESTS OF LINEAR HYPOTHESES IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS

Authors
PSARADAKIS Z
Citation
Z. Psaradakis, A COMPARISON OF TESTS OF LINEAR HYPOTHESES IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS, Economics letters, 45(2), 1994, pp. 137-144
Citations number
14
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
45
Issue
2
Year of publication
1994
Pages
137 - 144
Database
ISI
SICI code
0165-1765(1994)45:2<137:ACOTOL>2.0.ZU;2-C
Abstract
This paper compares the performance of alternative asymptotic tests of linear hypotheses on the cointegration space and the adjustment space . It is shown that application of simple correction factors typically improves the properties of likelihood ratio test statistics in small-s ample situations.