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