On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank

Bent Nielsen

Econometric Reviews, 2004, vol. 23, issue 1, 1-23

Abstract: This paper analyses the likelihood ratio test for the hypothesis of reduced cointegration rank in a Gaussian vector autoregressive model. The usual asymptotic distribution typically gives rather large size distortions. This is explained by the fact that the asymptotic distribution of the likelihood ratio test statistic varies across the parameter space. A much improved distribution approximation can be obtained using local asymptotic theory. The idea is discussed for some low dimensional examples.

Keywords: Bartlett corrections; Cointegration; Finite sample results; Lack of similarity; Local asymptotics (search for similar items in EconPapers)
Date: 2004
References: Add references at CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1081/ETC-120028834 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:taf:emetrv:v:23:y:2004:i:1:p:1-23

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1081/ETC-120028834

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().