Arbeitspapier
On the existence of the moments of the asymptotic trace statistic
In this note we establish the existence of the first two moments of the asymptotic trace statistic, which appears as weak limit of the likelihood ratio statistic for testing the cointe- gration rank in a vector autoregressive model and whose moments may be used to develop panel cointegration tests. Moreover, we justify the common practice to approximate these moments by simulating a certain statistic, which converges weakly to the asymptotic trace statistic. To accomplish this we show that the moments of the mentioned statistic converge to those of the asymptotic trace statistic as the time dimension tends to infinity.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2009,012
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Hypothesis Testing: General
- Thema
-
Cointegration
trace statistic
asymptotic moments
uniform integrability
Kointegration
VAR-Modell
Statistischer Test
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Örsal, Deniz Dilan Karaman
Droge, Bernd
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 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
- Arbeitspapier
Beteiligte
- Örsal, Deniz Dilan Karaman
- Droge, Bernd
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2009
Ähnliche Objekte (12)
On the Existence of the Moments of the Asymptotic Trace Statistic
Asymptotic behaviour of the trace for Schrödinger operator on fractal drums
The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions
Elastic flow of curves: existence and asymptotic behavior
The language of existence
The geometry of the cyclotomic trace
The fate of the episodic memory trace
The Asymptotic Properties of Burg Estimators
On the asymptotic geometry of the Hitchin metric
On the asymptotic behaviour of the Capon estimator
The weathering of the trace : Agamben's presupposition of Derrida
The asymptotic behavior of the term structure of interest rates
On the Existence of the Moments of the Asymptotic Trace Statistic
Asymptotic behaviour of the trace for Schrödinger operator on fractal drums
The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions
Elastic flow of curves: existence and asymptotic behavior
The language of existence
The geometry of the cyclotomic trace
The fate of the episodic memory trace
The Asymptotic Properties of Burg Estimators
On the asymptotic geometry of the Hitchin metric
On the asymptotic behaviour of the Capon estimator
The weathering of the trace : Agamben's presupposition of Derrida
The asymptotic behavior of the term structure of interest rates
On the Existence of the Moments of the Asymptotic Trace Statistic
Asymptotic behaviour of the trace for Schrödinger operator on fractal drums
The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions
Elastic flow of curves: existence and asymptotic behavior
The language of existence
The geometry of the cyclotomic trace
The fate of the episodic memory trace
The Asymptotic Properties of Burg Estimators
On the asymptotic geometry of the Hitchin metric
On the asymptotic behaviour of the Capon estimator
The weathering of the trace : Agamben's presupposition of Derrida