Journal article
Asymptotic theory for cointegration analysis when the cointegration rank is deficient
- Abstract:
- We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of interest in finite sample analysis and in relation to recent work on identification robust cointegration inference. We derive asymptotic theory for tests for cointegration rank and for hypotheses on the cointegrating vectors. The limiting distributions are tabulated. An application to US treasury yields series is given.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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(Preview, Version of record, pdf, 391.0KB, Terms of use)
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- Publisher copy:
- 10.3390/econometrics7010006
Authors
- Publisher:
- MDPI
- Journal:
- Econometrics More from this journal
- Volume:
- 7
- Issue:
- 1
- Article number:
- 6
- Publication date:
- 2019-01-18
- Acceptance date:
- 2019-01-08
- DOI:
- EISSN:
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2225-1146
- Language:
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English
- Keywords:
- Pubs id:
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pubs:514632
- UUID:
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uuid:8853109e-cfd6-45f0-86f6-a10c5be31ba4
- Local pid:
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pubs:514632
- Source identifiers:
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514632
- Deposit date:
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2019-11-27
- ARK identifier:
Terms of use
- Copyright holder:
- Bernstein, D and Nielsen, B
- Copyright date:
- 2019
- Notes:
- © 2019 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license.
- Licence:
- CC Attribution (CC BY)
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