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  • 标题:A note on small-sample correction for hypothesis testing on cointegrating vectors: recursive Monte Carlo analysis
  • 本地全文:下载
  • 作者:Takamitsu Kurita
  • 期刊名称:Economics Bulletin
  • 电子版ISSN:1545-2921
  • 出版年度:2009
  • 卷号:29
  • 期号:3
  • 页码:1588-1595
  • 出版社:Economics Bulletin
  • 摘要: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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