This paper investigates through Monte Carlo simulation the finite sample properties of likelihood ratio tests for cointegrating ranks that were proposed by Johansen (1991, <italic>Econometrica</italic> 59, 1551–1580). We transform the model into a canonical form so that the experiment is well controlled...

A limit theory is developed for multivariate regression in an explosive cointegrated system. The asymptotic behavior of the least squares estimator of the cointegrating coefficients is found to depend upon the precise relationship between the explosive regressors. When the eigenvalues of the...