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We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of interest in finite sample analysis and in relation to recent work on identification… Click to show full abstract
We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of interest in finite sample analysis and in relation to recent work on identification 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.
Keywords:
rank deficient;
cointegration rank;
cointegration;
asymptotic theory;
analysis
Journal Title: Econometrics
Year Published: 2019
Link to full text (if available)
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Journal Title: Econometrics
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!