Testing structural hypotheses on cointegration relations with small samples
通过蒙特卡洛实验发现，Johansen似然比检验在小样本下存在过度拒绝原假设的偏差，即使经过Sim校正也是如此；提出用自助法获取问题特定的临界值，能显著减小偏差，并展示了实证应用。
This study examines the finite-sample bias of Johansen's [1991] likelihood ratio tests for structural hypotheses on cointegration relations among economic variables through the Monte Carlo experiments. It is found that the Johansen tests with small samples are biased toward rejecting the null hypotheses more often than what asymptotic theory suggests, even after the test statistics are adjusted by Sim's correction. A bootstrap method for obtaining problem-specific critical values for the tests is proposed. It is shown that using the bootstrap procedure may substantially reduce the small-sample bias. An empirical application of the procedure is demonstrated.