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Asymptotic theory for cointegration analysis when the cointegration rank is deficient

David Bernstein () and Bent Nielsen

No 2014-W06, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: We consider cointegration tests in the situation where the cointegration rank is de cient. This situation is of interest in nite sample analysis and in relation to recent work on identi cation 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 de ciency; weak identi cation. (search for similar items in EconPapers)
Pages: 23 pages
Date: 2014-10-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Journal Article: Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient (2019) Downloads
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