On the distribution of tests of cointegration rank.
This paper analyses the likelihood test for the hypothesis of reduced cointegration rank in a Gaussian vector autoregressive model. In finite samples the rejection probability for the hypothesis may be quite different from the promised asymptotic size. An explained is found in the fact that the t...
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| Format: | Working paper |
| Language: | English |
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Nuffield College (University of Oxford)
1997
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