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LR cointegration tests when some cointegrating relations are known

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  • Paruolo Paolo

    ()
    (Department of Economics, University of Insubria, Italy)

Abstract

This paper considers the asymptotic analysis of the likelihood ratio (LR), cointegration (CI) rank test in vector autoregressive models (VAR) when some CI vectors are known and fixed. It is shown that the limit law is free of nuisance parameters. In the case of LR tests against the alternative of completely unrestricted CI space, the limit law can be expressed as the convolution of known distributions. This deconvolution is employed to approximate the quantiles of the distribution, without resorting to new simulations.

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Bibliographic Info

Paper provided by Department of Economics, University of Insubria in its series Economics and Quantitative Methods with number qf0106.

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Handle: RePEc:ins:quaeco:qf0106

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Related research

Keywords: cointegration; likelihood ratio; unit roots;

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Cited by:
  1. Giuseppe Cavaliere & Luca Fanelli & Paolo Paruolo, 2009. "Tests for cointegration rank and choice of the alternative," Statistical Methods and Applications, Springer, vol. 18(2), pages 169-191, July.
  2. Omtzigt Pieter, 2002. "Automatic identification and restriction of the cointegration space," Economics and Quantitative Methods qf0213, Department of Economics, University of Insubria.
  3. Cavaliere Giuseppe & Fanelli Luca & Paruolo Paolo, 2001. "Determining the number of cointegrating relations under rank constraints," Economics and Quantitative Methods qf0109, Department of Economics, University of Insubria.
  4. Roger Hammersland, 2004. "Large T and small N : A three-step approach to the identification of cointegrating relationships in time series models with a small cross-sectional dimension," Working Paper 2004/15, Norges Bank.
  5. Bertocco Giancarlo & Fanelli Luca & Paruolo Paolo, 2002. "On the determinants of inflation in Italy: evidence of cost-push effects before the European Monetary Union," Economics and Quantitative Methods qf0223, Department of Economics, University of Insubria.

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