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Asymptotic theory for cointegration analysis when the cointegration rank is deficient

Author

Listed:
  • David Bernstein

    () (Dept of Economics, University of Miami)

  • Bent Nielsen

    () (Dept of Economics and Nuffield College, Oxford University)

Abstract

We consider cointegration tests in the situation where the cointegration rank is de cient. This situation is of interest in nite sample analysis and in relation to recent work on identi cation robust cointegration inference. We derive asymptotic theory for tests for cointegration rank and for hypotheses on the cointegrating vectors. The limiting distributions are tabulated. An application to US treasury yields series is given.

Suggested Citation

  • David Bernstein & Bent Nielsen, 2014. "Asymptotic theory for cointegration analysis when the cointegration rank is deficient," Economics Papers 2014-W06, Economics Group, Nuffield College, University of Oxford.
  • Handle: RePEc:nuf:econwp:1406
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    15. Bent Nielsen, 2004. "On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank," Econometric Reviews, Taylor & Francis Journals, vol. 23(1), pages 1-23.
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    Cited by:

    1. Osabuohien-Irabor Osarumwense & Julian I. Mbegbu, 2017. "Power and Size analysis of Co-integration tests in Conditional Heteroskedascity: A Monte Carlo Simulation," Romanian Statistical Review, Romanian Statistical Review, vol. 65(3), pages 17-34, September.
    2. Lenard Lieb & Stephan Smeekes, 2017. "Inference for Impulse Responses under Model Uncertainty," Papers 1709.09583, arXiv.org, revised Oct 2019.

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    More about this item

    Keywords

    Cointegration; rank de ciency; weak identi cation.;
    All these keywords.

    JEL classification:

    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
    • C - Mathematical and Quantitative Methods
    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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