{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,7]],"date-time":"2026-10-07T21:01:00Z","timestamp":1791406860074,"version":"4.3.3"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2002,5,16]],"date-time":"2002-05-16T00:00:00Z","timestamp":1021507200000},"content-version":"unspecified","delay-in-days":45,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2002,4]]},"abstract":"<jats:p>The Wald test for linear restrictions on cointegrating vectors \nis compared in finite samples using the Monte Carlo method. \nThe Wald test is calculated within the vector error-correction \nbased estimation methods of Bewley, Orden, Yang, and Fisher \n(1994, <jats:italic>Journal of Econometrics<\/jats:italic> 64, 3\u201327) and \nof Johansen (1991, <jats:italic>Econometrica<\/jats:italic> 59, 1551\u20131580), \nthe canonical cointegration method of Park (1992, \n<jats:italic>Econometrica<\/jats:italic> 60, 119\u2013143), the dynamic ordinary \nleast squares method of Phillips and Loretan (1991, <jats:italic>Review \nof Economic Studies<\/jats:italic> 58, 407\u2013436), Saikkonen (1991, \n<jats:italic>Econometric Theory<\/jats:italic> 7, 1\u201321), and Stock and Watson \n(1993, <jats:italic>Econometrica<\/jats:italic> 61, 783\u2013820), the fully modified \nordinary least squares method of Phillips and Hansen (1990, \n<jats:italic>Review of Economic Studies<\/jats:italic> 57, 99\u2013125), and the \nband spectral techniques of Phillips (1991, in W. Barnett, J. \nPowell, &amp; G. E. Tauchen (eds.), <jats:italic>Nonparametric and \nSemiparametric Methods in Economics and Statistics<\/jats:italic>, pp. \n413\u2013435). The Wald test performance is also compared to \nthat of the likelihood ratio test suggested by Johansen and \nJuselius (1990, <jats:italic>Oxford Bulletin of Economics and \nStatistics<\/jats:italic> 52, 169\u2013210) and to a Bartlett correction \nof that test as proposed by Johansen (1998, A Small Sample Test \nfor Tests of Hypotheses on Cointegrating Vectors, European \nUniversity Institute).<\/jats:p>","DOI":"10.1017\/s0266466602182119","type":"journal-article","created":{"date-parts":[[2002,11,14]],"date-time":"2002-11-14T17:01:57Z","timestamp":1037293317000},"page":"505-524","source":"Crossref","is-referenced-by-count":18,"title":["TESTING LINEAR RESTRICTIONS ON COINTEGRATING VECTORS: SIZES \nAND POWERS OF WALD AND LIKELIHOOD RATIO TESTS IN FINITE SAMPLES"],"prefix":"10.1017","volume":"18","author":[{"given":"Alfred A.","family":"Haug","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2002,5,16]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466602182119","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,7]],"date-time":"2019-04-07T16:33:03Z","timestamp":1554654783000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466602182119\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2002,4]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2002,4]]}},"alternative-id":["S0266466602182119"],"URL":"https:\/\/doi.org\/10.1017\/s0266466602182119","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2002,4]]}}}