Asymptotic theory for cointegration analysis when the cointegration rank is deficient

Asymptotic theory for cointegration analysis when the cointegration rank is deficient

We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of interest in finite sample analysis and in relation to recent work on identification robust cointegration inference. We derive asymptotic theory for tests for cointegration rank and for hy...

書誌詳細
主要な著者:	Bernstein, D, Nielsen, B
フォーマット:	Journal article
言語:	English
出版事項:	MDPI 2019

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