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On the distribution of tests of cointegration rank.

Abstract:

This paper analyses the likelihood test for the hypothesis of reduced cointegration rank in a Gaussian vector autoregressive model. In finite samples the rejection probability for the hypothesis may be quite different from the promised asymptotic size. An explained is found in the fact that the test is not similar. A new asymptotic distribution which depends continuously on the nuisance parameters is suggested. This captures the functional form of the exact distribution and gives a rat...

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Publisher:
Nuffield College (University of Oxford)
Series:
Economics Working Papers
Publication date:
1997-01-01
Language:
English
UUID:
uuid:7023bd6d-73d6-4510-92aa-52bf7d21b2c5
Local pid:
oai:economics.ouls.ox.ac.uk:11949
Deposit date:
2011-08-16

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