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

Rolf Larsson

Econometric Theory, 1999, vol. 15, issue 6, 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 χ2 type is derived by applying multivariate saddlepoint approximation techniques to a Fourier inversion integral.

Date: 1999
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