Chapter

The Asymptotic Distribution of the Test for Cointegrating Rank

Søren Johansen

in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Published in print December 1995 | ISBN: 9780198774501
Published online November 2003 | e-ISBN: 9780191596476 | DOI: http://dx.doi.org/10.1093/0198774508.003.0011

Series: Advanced Texts in Econometrics

 							The Asymptotic Distribution of the Test for Cointegrating Rank

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The asymptotic distribution of the likelihood ratio test for cointegrating rank is given. The limit distribution depends on the model for the deterministic terms, and we give the different formulae that can be obtained for a constant and a linear term in the equation under various restrictions. The limit distribution is a multivariate version of the Dickey–Fuller test, which is tabulated by simulation.

Keywords: asymptotic distribution; deterministic terms; Dickey–Fuller test; test for cointegrating rank

Chapter.  8186 words. 

Subjects: Econometrics and Mathematical Economics

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