On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank

DOI10.1081/ETC-120028834MaRDI QIDQ4451549zbMATH OpenFDO

Authors Bent Nielsen

Publication date 26 February 2004

Published in Econometric Reviews (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Recommendations

• Improved likelihood ratio tests for cointegration rank in the VAR model
• Statistical analysis of cointegration vectors
• LR cointegration tests when some cointegrating relations are known
• APPROXIMATION OF THE ASYMPTOTIC DISTRIBUTION OF THE LOG LIKELIHOOD RATIO TEST FOR COINTEGRATION
• Numerical aspects of a likelihood ratio test statistic for cointegrating rank

Cites work

• scientific article; zbMATH DE number 3522963 (Why is no real title available?)
• A GENERAL METHOD FOR APPROXIMATING TO THE DISTRIBUTION OF LIKELIHOOD RATIO CRITERIA
• A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
• A Stastistical Analysis of Cointegration for I(2) Variables
• Approximate Conditional Unit Root Inference
• Conditional test for rank in bivariate canonical correlation analysis
• Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time- series model
• Efficient Tests for an Autoregressive Unit Root
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Local asymptotic distribution related to the AR(1) model with dependent errors
• Miscellanea. Bartlett correction of the unit root test in autoregressive models
• On the determination of integration indices in I(2) systems
• Properties of sufficiency and statistical tests
• RELATIONS BETWEEN TWO SETS OF VARIATES
• Statistical analysis of cointegration vectors
• TESTS OF SIGNIFICANCE IN CANONICAL ANALYSIS
• The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes
• The likelihood-ratio test for rank in bivariate canonical correlation analysis
• The order of the error term for moments of the log likelihood ratio unit root test in an autoregressive process
• Trend stationarity in the \(I(2)\) cointegration model.
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING

Cited in

(12)

• Bartlett correction in the stable second-order autoregressive model with intercept and trend
• Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression
• Tests for cointegration rank and choice of the alternative
• THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
• Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
• Improved likelihood ratio tests for cointegration rank in the VAR model
• Mixed normal inference on multicointegration
• Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
• APPROXIMATION OF THE ASYMPTOTIC DISTRIBUTION OF THE LOG LIKELIHOOD RATIO TEST FOR COINTEGRATION
• Local power of likelihood-based tests for cointegrating rank: comparative analysis of full and partial systems
• Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
• The likelihood ratio test for cointegration ranks in the I(2) model

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