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Asymptotic Results for Cointegration Tests in Non-Stable Cases

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  • Nielsen, B

Abstract

Asymptotic analyses of unit root tests in autoregressive time series are usually based on the assumptions that the number of unit roots is known and that the remaining characteristic roots are stable. The last assumption seems not to be necessary. This is stated more precisely for two examples.

Suggested Citation

  • Nielsen, B, 1997. "Asymptotic Results for Cointegration Tests in Non-Stable Cases," Economics Papers 131, Economics Group, Nuffield College, University of Oxford.
    • Handle: RePEc:nuf:econwp:131
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    References listed on IDEAS

    as
    1. Johansen, Søren, 1995. "A Stastistical Analysis of Cointegration for I(2) Variables," Econometric Theory, Cambridge University Press, vol. 11(1), pages 25-59, February.
    2. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    3. Bent Nielsen, "undated". "On the distribution of tests of cointegration rank," Economics Papers 1997-W10, Economics Group, Nuffield College, University of Oxford.
    4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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    Keywords

    STATISTICS ; MATHEMATICS ; ECONOMETRICS;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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