Test for cointegration rank in general vector autoregressions

Bent Nielsen

No 2009-W10, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: Johansen derived the asymptotic theory for his cointegration rank test statisic for a vector autoregression where the parameters are restricted so the process is integrated of order one. It is investigated to what extent these parameter restrictions are binding. The eigenvalues of Johansen’s eigenvalue problem are shown to have the same consistency rates accross the parameter space. The test statistic is shown to have the usual asymptotic distribution as long as the possibilities of additional unit roots and of singular explosiveness are ruled out. To prove the results the convergence of stochastic integrals with respect to singular explosive processes is considered.

Pages: 28 pages
Date: 2009-09-22
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:0910

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