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Econometrics 2019, 7(1), 6; https://doi.org/10.3390/econometrics7010006

Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient

1
Department of Economics, University of Miami, Coral Gables, FL 33146, USA
2
Department of Economics & Nuffield College & Programme on Economic Modelling, University of Oxford, Oxford OX1 1NF, UK
*
Author to whom correspondence should be addressed.
Received: 3 May 2018 / Revised: 26 September 2018 / Accepted: 8 January 2019 / Published: 18 January 2019
(This article belongs to the Special Issue Celebrated Econometricians: Katarina Juselius and Søren Johansen)
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Abstract

We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of interest in finite sample analysis and in relation to recent work on identification robust cointegration inference. We derive asymptotic theory for tests for cointegration rank and for hypotheses on the cointegrating vectors. The limiting distributions are tabulated. An application to US treasury yields series is given. View Full-Text
Keywords: cointegration; rank deficiency; weak identification cointegration; rank deficiency; weak identification
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Bernstein, D.H.; Nielsen, B. Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient. Econometrics 2019, 7, 6.

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