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
Article Menu

Export Article

Open AccessArticle
Econometrics 2019, 7(1), 6;

Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient

Department of Economics, University of Miami, Coral Gables, FL 33146, USA
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)
Full-Text   |   PDF [391 KB, uploaded 18 January 2019]   |  


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

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

Share & Cite This Article

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.

Related Articles

Article Metrics

Article Access Statistics



[Return to top]
Econometrics EISSN 2225-1146 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top