Alternative Asymptotics for Cointegration Tests in Large VARs

DOI10.3982/ECTA14649zbMath1401.62173arXiv1605.08880MaRDI QIDQ4682715

Alexei Onatski, Chen Wang

Publication date: 19 September 2018

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.08880

zbMATH Keywords

empirical distribution; vector autoregression; high-dimensional VAR; canonical correlations; cointegration tests; Johansen's test; Wachter distribution

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62H15: Hypothesis testing in multivariate analysis

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