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Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient

David Bernstein () and Bent Nielsen ()
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Bent Nielsen: Department of Economics & Nuffield College & Programme on Economic Modelling, University of Oxford, Oxford OX1 1NF, UK

Econometrics, 2019, vol. 7, issue 1, 1-24

Abstract: We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of interest in finite sample analysis and in relation to recent work on identification robust cointegration inference. We derive asymptotic theory for tests for cointegration rank and for hypotheses on the cointegrating vectors. The limiting distributions are tabulated. An application to US treasury yields series is given.

Keywords: cointegration; rank deficiency; weak identification (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2019
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Working Paper: Asymptotic theory for cointegration analysis when the cointegration rank is deficient (2014) Downloads
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