ASYMPTOTIC INFERENCE ON COINTEGRATING RANK IN PARTIAL SYSTEMS

Authors
HARBO I JOHANSEN S NIELSEN B RAHBEK A
Citation
I. Harbo et al., ASYMPTOTIC INFERENCE ON COINTEGRATING RANK IN PARTIAL SYSTEMS, Journal of business & economic statistics, 16(4), 1998, pp. 388-399
Citations number
17
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics
Journal title
Journal of business & economic statistics → ACNP
ISSN journal
07350015
Volume
16
Issue
4
Year of publication
1998
Pages
388 - 399
Database
ISI
SICI code
0735-0015(1998)16:4<388:AIOCRI>2.0.ZU;2-0
Abstract
The likelihood ratio test for cointegrating rank is analyzed for parti al (or conditional) systems in the vector autoregressive error-correct ion model. Under the assumption of weak exogeneity for the cointegrati ng parameters, the asymptotic distributions are given and tables of cr itical values are provided. A discussion is given of some of the assum ptions of the model, why they are needed, and how they are tested.