Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient

David Bernstein and Bent Nielsen
Additional contact information
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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://www.mdpi.com/2225-1146/7/1/6/pdf (application/pdf)
https://www.mdpi.com/2225-1146/7/1/6/ (text/html)

Related works:
Working Paper: Asymptotic theory for cointegration analysis when the cointegration rank is deficient (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jecnmx:v:7:y:2019:i:1:p:6-:d:198742

Access Statistics for this article

Econometrics is currently edited by Ms. Jasmine Liu

More articles in Econometrics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().