Working paper
Asymptotic results for cointegration tests in non-stable cases
- Abstract:
- Asymptotic analyses of unit root tests in autoregressive time series are usually based on the assumptions that the number of unit roots is known and that the remaining characteristic roots are stable. The last assumption seems not to be necessary. This is stated more precisely for two examples. One is a unit root test in a univariate second order model, the other a test for at most one cointegrating relation in a bivariate first order model.
- Publication status:
- Published
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(Preview, Version of record, pdf, 202.4KB, Terms of use)
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- Publication website:
- https://www.nuffield.ox.ac.uk/economics/Papers/index.html
Authors
- Publisher:
- Nuffield College, University of Oxford
- Series:
- Economics Discussion Papers
- Place of publication:
- Oxford
- Publication date:
- 1997-05-14
- Paper number:
- W32
- Language:
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English
- UUID:
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uuid:f8d78125-b247-44e6-abfe-f07e171be286
- Local pid:
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oai:economics.ouls.ox.ac.uk:11941
- Deposit date:
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2011-08-16
Terms of use
- Copyright holder:
- Bent Neilsen
- Copyright date:
- 1997
- Rights statement:
- © The Authors 1997.
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