Uniform inference for cointegrated vector autoregressive processes

Christian Holberg and Susanne Ditlevsen

Journal of Econometrics, 2025, vol. 247, issue C

Abstract: Uniformly valid inference for cointegrated vector autoregressive processes has so far proven difficult due to certain discontinuities arising in the asymptotic distribution of the least squares estimator. We extend asymptotic results from the univariate case to multiple dimensions and show how inference can be based on these results. Furthermore, we show that lag augmentation and a recent instrumental variable procedure can also yield uniformly valid tests and confidence regions. We verify the theoretical findings and investigate finite sample properties in simulation experiments for two specific examples.

Keywords: Uniform inference; Vector autoregressive process; Cointegration; Non-stationary (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002951

DOI: 10.1016/j.jeconom.2024.105944

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