Asymptotic Inference on Cointegrating Rank in Partial Systems

Harbo, Ingrid, et al
Authors registered in the RePEc Author Service: Bent Nielsen

Journal of Business & Economic Statistics, 1998, vol. 16, issue 4, 388-99

Abstract: The likelihood ratio test for cointegrating rank is analyzed for partial (or conditional) systems in the vector autoregressive error-correction model. Under the assumption of weak exogeneity for the cointegrating parameters, the asymptotic distributions are given and tables of critical values are provided. A discussion is given of some of the assumptions of the model, why they are needed, and how they are tested. Coauthors are Soren Johansen, Bent Nielsen, and Anders Rahbek.

Date: 1998
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Citations: View citations in EconPapers (233)

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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:16:y:1998:i:4:p:388-99

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