Asymptotic theory for cointegration analysis when the cointegration rank is deficient

We consider cointegration tests in the situation where the cointegration rank is decient. This situation is of interest in nite sample analysis and in relation to recent work on identication 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.

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Year of publication:	2014-10-01
Authors:	Bernstein, David ; Nielsen, Bent
Institutions:	Economics Group, Nuffield College, University of Oxford
Subject:	Cointegration \| rank deciency \| weak identication

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Extent:	application/pdf
Series:	Economics Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2014-W06 23 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010936519