Asymptotic theory for cointegration analysis when the cointegration rank is deficient

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.

MoreLess

Year of publication:	2019
Authors:	Bernstein, David H. ; Nielsen, Bent
Published in:	Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 7.2019, 1, p. 1-24
Publisher:	Basel : MDPI
Subject:	cointegration \| rank deficiency \| weak identification

More details

Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/econometrics7010006 [DOI] 1668922843 [GVK] hdl:10419/247506 [Handle]
Classification:	C32 - Time-Series Models
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012696221