Asymptotic Results for Cointegration Tests in Non-Stable Cases

Bent Nielsen

Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: Asymptotic analyses of unit root tests in autoregressive time series are usually based on the assumptions that the number of unit roots is known and that the remaining characteristic roots are stable. The last assumption seems not to be necessary. This is stated more precisely for two examples.

Keywords: STATISTICS; MATHEMATICS; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 33 pages
Date: 1997
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