[Gretl-users] Re: small Johansen test - minimum sample size
Am 27.10.2022 um 12:44 schrieb Lars Ahnland:
Hi,
I am using the package johansensmall, for johansen cointegration test
with small sample sizes. I have a dataset with only 29 samples. Now, I
get a significant reslut at the 5% level with the Bartlett correction,
and at 1% level with the boot-strapped p-values. I report both values.
Would you say these results are valid, considering the very small
sample size?
Hi Lars,
indeed I'd say it's unusual that the bootstrap version rejects the null
at a stricter level than the Bartlett correction. For such a small
sample size I would typically expect that the bootstrap test is unable
to reject. If you could share this particular dataset and your test
specification (deterministics, lags), maybe we can have a better idea of
what's going on.
cheers
sven
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