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Asymptotic results for cointegration tests in non-stable case

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  • Bent Nielsen

Abstract

Asymptotic analyses of unit root tests in autoregressive time series are usually based on the assumptions that the number of unit roots is known and that the remaining characteristic roots are stable. The last assumption seems not to be necessary. This is stated more precisely for two examples.
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Suggested Citation

  • Bent Nielsen, "undated". "Asymptotic results for cointegration tests in non-stable case," Economics Papers W32., Economics Group, Nuffield College, University of Oxford.
    • Handle: RePEc:nuf:econwp:9632
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    References listed on IDEAS

    as
    1. Bent Nielsen, "undated". "On the distribution of tests of cointegration rank," Economics Papers 1997-W10, Economics Group, Nuffield College, University of Oxford.
    2. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    3. Johansen, Søren, 1995. "A Stastistical Analysis of Cointegration for I(2) Variables," Econometric Theory, Cambridge University Press, vol. 11(1), pages 25-59, February.
    4. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
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    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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