Small sample adjustment for hypotheses testing on cointegrating vectors
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Recommendations
- A note on Bartlett correction factor for tests on cointegrating relations
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Cites work
- A Bartlett correction factor for tests on the cointegrating relations
- A comparison of tests of linear hypothesis in cointegrated vector autoregressive models
- A CORRECTION FACTOR FOR UNIT ROOT TEST STATISTICS
- A GENERAL METHOD FOR APPROXIMATING TO THE DISTRIBUTION OF LIKELIHOOD RATIO CRITERIA
- A note on Bartlett correction factor for tests on cointegrating relations
- A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
- Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
- BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND
- Bartlett correction of empirical likelihood for non-Gaussian short-memory time series
- Bartlett Corrections for Unit Root Test Statistics
- Bartlett corrections in cointegration testing
- Bonferroni-based size-correction for nonstandard testing problems
- Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
- Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
- Bootstrap procedures under some non-i.i.d. models
- Bootstrap testing of hypotheses on co-integration relations in vector autoregressive models
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Bootstrapping general empirical measures
- Cointegration rank testing under conditional heteroskedasticity
- DIFFERENTIAL GEOMETRY OF ARMA MODELS
- Exact Geometry of Autoregressive Models
- Five alternative methods of estimating long-run equilibrium relationships
- Higher order asymptotic theory for time series analysis
- Improvement of the Likelihood Ratio Test Statistic in ARMA Models
- Improvement of the quasi‐likelihood ratio test in ARMA models: some results for bootstrap methods
- Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators
- Inference in VARs with conditional heteroskedasticity of unknown form
- Inference on co-integration parameters in heteroskedastic vector autoregressions
- Jackknife, bootstrap and other resampling methods in regression analysis
- Miscellanea. Bartlett correction of the unit root test in autoregressive models
- Multivariate modelling of non-stationary economic time series
- Nearly optimal tests when a nuisance parameter is present under the null hypothesis
- Numerically stable cointegration analysis
- On bartlett and bartlett-type corrections francisco cribari-neto
- On Bartlett correction of empirical likelihood in the presence of nuisance parameters
- On the Bartlett correction of empirical likelihood for Gaussian long-memory time series
- On the second-order properties of empirical likelihood with moment restrictions
- Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
- Properties of sufficiency and statistical tests
- Small sample properties of tests of linear restrictions on cointegrating vectors and their weights
- Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
- Testing for co-integration in vector autoregressions with non-stationary volatility
- TESTING LINEAR RESTRICTIONS ON COINTEGRATING VECTORS: SIZES AND POWERS OF WALD AND LIKELIHOOD RATIO TESTS IN FINITE SAMPLES
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- The bootstrap and Edgeworth expansion
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