Asymptotic Inference on Cointegrating Rank in Partial Systems |
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| Authors: | Ingrid Harbo Søren Johansen Bent Nielsen Anders Rahbek |
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| Affiliation: | 1. Novo Research Institute , DK-2880 Bagsvaerd, Denmark E-mail: insh@novo.dk;2. Department of Economics , European University Institute , San Domenico di Fiesole , Italy E-mail: sjohanse@datacomm.iue.it;3. Nuffield College, University of Oxford , Oxford , 0X1 1NF , United Kingdom E-mail: bent.nielsen@nuf.ox.ac.uk;4. Department of Theoretical Statistics , University of Copenhagen , 2100 Copenhagen, Denmark E-mail: rahbek@math.ku.dk |
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| 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. |
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| Keywords: | Cointegration Common trends Conditional model Partial likelihood Reduced-rank regression Weak exogeneity |
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