Asymptotic Inference on Cointegrating Rank in Partial Systems
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0735-0015
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Journal of Business & Economic Statistics, 1998, 16, 4, 388-399
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HARBO, Ingrid, JOHANSEN, Soren, NIELSEN, Bent, RAHBEK, Anders, Asymptotic Inference on Cointegrating Rank in Partial Systems, Journal of Business & Economic Statistics, 1998, 16, 4, 388-399 - https://hdl.handle.net/1814/17012
Abstract
The likelihood ratio test for cointegrating rank is analyzed for partial (or conditional) systems in the vector autoregressive error-correction model. Under the assumption of weak exogeneity for the cointegrating parameters, the asymptotic distributions are given and tables of critical values are provided. A discussion is given of some of the assumptions of the model, why they are needed, and how they are tested.