MIXED NORMAL INFERENCE ON MULTICOINTEGRATION

H. Peter Boswijk ()

Econometric Theory, 2010, vol. 26, issue 5, 1565-1576

Abstract: Asymptotic likelihood analysis of cointegration in I (2) models (see Johansen, 1997, 2006; Boswijk, 2000; Paruolo, 2000) has shown that inference on most parameters is mixed normal, implying hypothesis test statistics with an asymptotic χ2 null distribution. The asymptotic distribution of the multicointegration parameter estimator so far has been characterized by a Brownian motion functional, which has been conjectured to have a mixed normal distribution, based on simulations. The present note proves this conjecture.

Date: 2010
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