Abstract
Asymptotic likelihood analysis of cointegration in I (2) models (see Johansen, 1997, 2006; Boswijk, 2000; Paruolo, 2000) has shown that inference on most parameters is mixed normal, implying hypothesis test statistics with an asymptotic χ2 null distribution. The asymptotic distribution of the multicointegration parameter estimator so far has been characterized by a Brownian motion functional, which has been conjectured to have a mixed normal distribution, based on simulations. The present note proves this conjecture.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Reference14 articles.
1. Weak exogeneity in I(2) VAR systems
2. Paruolo P. (1995) Topics in Statistical Inference for Vector Autoregressive Processes Integrated of Order 1 and 2. PhD thesis, University of Copenhagen.
3. Mosconi R. & Paruolo P. (2010) Identification of cointegrating relations in I (2) vector autoregressive models. Working paper, University of Insubria.
4. A Representation of Vector Autoregressive Processes Integrated of Order 2
5. DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES
Cited by
10 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献