APPROXIMATION OF THE ASYMPTOTIC DISTRIBUTION OF THE LOG LIKELIHOOD RATIO TEST FOR COINTEGRATION

Rolf Larsson

Econometric Theory, 1999, vol. 15, issue 06, pages 789-813

Abstract: Tail approximation of the asymptotic distribution of the log likelihood ratio test for cointegration in a vector autoregressive process is studied. In dimension 2, an approximation of weighted 2 type is derived by applying multivariate saddlepoint approximation techniques to a Fourier inversion integral.

Date: 1999

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:15:y:1999:i:06:p:789-813_15

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