MIXED NORMAL INFERENCE ON MULTICOINTEGRATION

Asymptotic likelihood analysis of cointegration in <italic>I</italic> (2) models (see Johansen, 1997, 2006; Boswijk, 2000; Paruolo, 2000) has shown that inference on most parameters is mixed normal, implying hypothesis test statistics with an asymptotic <italic>χ</italic>² null distribution. The asymptotic distribution of the multicointegration parameter estimator so far has been characterized by a Brownian motion functional, which has been conjectured to have a mixed normal distribution, based on simulations. The present note proves this conjecture.