Artikel
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 hypotheses on the cointegrating vectors. The limiting distributions are tabulated. An application to US treasury yields series is given.
- Sprache
-
Englisch
- Erschienen in
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Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 7 ; Year: 2019 ; Issue: 1 ; Pages: 1-24 ; Basel: MDPI
- Klassifikation
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Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
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cointegration
rank deficiency
weak identification
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bernstein, David H.
Nielsen, Bent
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
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Basel
- (wann)
-
2019
- DOI
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doi:10.3390/econometrics7010006
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Bernstein, David H.
- Nielsen, Bent
- MDPI
Entstanden
- 2019
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