Abstract
Tail approximation of the asymptotic distribution
of the log likelihood ratio test for cointegration in a
vector autoregressive process is studied. In dimension
2, an approximation of weighted χ2 type
is derived by applying multivariate saddlepoint approximation
techniques to a Fourier inversion integral.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Cited by
3 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