We investigate the behavior of various standard and modified F, likelihood ratio (LR), and Lagrange multiplier (LM) tests in linear homoskedastic regressions, adapting an alternative asymptotic framework in which the number of regressors and possibly restrictions grows proportionately to the...

We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develop asymptotic distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but as usual the asymptotic results do not require normally...