Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient
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DOI: 10.3390/econometrics7010006
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… read more here.
Keywords: rank deficient; cointegration rank; cointegration; asymptotic theory ... See more keywords