Next Article in Journal
Panel Data Estimation for Correlated Random Coefficients Models
Next Article in Special Issue
A Parametric Factor Model of the Term Structure of Mortality
Previous Article in Journal
Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors
Previous Article in Special Issue
Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models
Open AccessArticle

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

Figure 1

MDPI and ACS Style

Bernstein, D.H.; Nielsen, B. Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient. Econometrics 2019, 7, 6.

Show more citation formats Show less citations formats
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Back to TopTop