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Asymptotic Inference on Cointegrating Rank in Partial Systems

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  • Harbo, Ingrid, et al

Abstract

The likelihood ratio test for cointegrating rank is analyzed for partial (or conditional) systems in the vector autoregressive error-correction model. Under the assumption of weak exogeneity for the cointegrating parameters, the asymptotic distributions are given and tables of critical values are provided. A discussion is given of some of the assumptions of the model, why they are needed, and how they are tested. Coauthors are Soren Johansen, Bent Nielsen, and Anders Rahbek.

Suggested Citation

  • Harbo, Ingrid, et al, 1998. "Asymptotic Inference on Cointegrating Rank in Partial Systems," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 388-399, October.
    • Handle: RePEc:bes:jnlbes:v:16:y:1998:i:4:p:388-99
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