small Johansen test - minimum sample size - Gretl-users

Thursday, 27 October 2022

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?

Best,
Lars

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small Johansen test - minimum sample size