A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS
针对协整向量约束的似然比检验，推导了巴特利特修正因子，并通过模拟实验证明该因子能改善有限样本下渐近分布的近似效果。
Likelihood ratio tests for restrictions on cointegrating vectors are asymptotically χ 2 distributed. For some values of the parameters this asymptotic distribution does not give a good approximation to the finite sample distribution. In this paper we derive the Bartlett correction factor for the likelihood ratio test and show by some simulation experiments that it can be a useful tool for making inference.