A note on Bartlett correction factor for tests on cointegrating relations

Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/11549

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DC Field	Value	Language
dc.contributor.author	Canepa, A	-
dc.date.accessioned	2015-11-03T13:42:02Z	-
dc.date.available	2015-11-03T13:42:02Z	-
dc.date.issued	2015	-
dc.identifier.citation	Statistics and Probability Letters, (2015)	en_US
dc.identifier.issn	0167-7152	-
dc.identifier.uri	http://www.sciencedirect.com/science/article/pii/S0167715215003429	-
dc.identifier.uri	http://bura.brunel.ac.uk/handle/2438/11549	-
dc.description.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.	en_US
dc.language.iso	en	en_US
dc.publisher	Elsevier	en_US
dc.subject	Cointegration	en_US
dc.subject	Bartlett correction factor	en_US
dc.subject	Bootstrap method	en_US
dc.title	A note on Bartlett correction factor for tests on cointegrating relations	en_US
dc.type	Article	en_US
dc.identifier.doi	http://dx.doi.org/10.1016/j.spl.2015.09.025	-
dc.relation.isPartOf	Statistics and Probability Letters	-
pubs.publication-status	Accepted	-
pubs.publication-status	Accepted	-
Appears in Collections:	Dept of Economics and Finance Research Papers

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