A note on small-sample correction for hypothesis testing on cointegrating vectors: recursive Monte Carlo analysis

Abstract

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.Cointegrating Vector, Small Sample, Bartlett Correction, Recursive Monte Carlo Experiment.