Mixed normal inference on multicointegration
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| Publication date | 2009 |
| Series | UvA-Econometrics Discussion Paper, 2009/08 |
| Number of pages | 11 |
| Publisher | Amsterdam: University of Amsterdam |
| Organisations |
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| Abstract |
Asymptotic likelihood analysis of cointegration in I(2) models, see Johansen (1997, 2006), Boswijk (2000) and Paruolo (2000), has shown that inference on most parameters is mixed normal, implying hypothesis test statistics with an asymptotic 2 null distribution. The asymptotic distribution of the multicointegration parameter estimator so far has been characterised by a Brownian motion functional, which has been conjectured to have a mixed normal distribution, based on simulations. The present paper proves this conjecture. |
| Document type | Working paper |
| Published at | http://aimsrv1.fee.uva.nl/koen/web.nsf/view/8242276B4CE95A06C125767F00801829/$file/0908.pdf |
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