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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Partial financial support from Italian Miur grants ex 60% is gratefully acknowledged. Paper presented at “XL Riunione Scientifica della Società Italiana di Statistica”, Firenze, 26–28 April 2000. A preliminary version of the paper was also presented at the 54th European Meeting of the Econometric Society, Santiago de Campostela 29 August–1 September 1999. I wish to thank Søren Johansen, Bent Nielsen and Jürgen Doornik for useful discussions on previous versions of this paper. First version of the paper written in August 1999.
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Paruolo, P. LR cointegration tests when some cointegrating relations are known. Statistical Methods & Applications 10, 123–137 (2001). https://doi.org/10.1007/BF02511644
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DOI: https://doi.org/10.1007/BF02511644