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- Title
MIXED NORMAL INFERENCE ON MULTICOINTEGRATION.
- Authors
BOSWIJK, H. PETER
- Abstract
Asymptotic likelihood analysis of cointegration in I (2) models (see Johansen, 1997, 2006; Boswijk, 2000; Paruolo, 2000) has shown that inference on most parameters is mixed normal, implying hypothesis test statistics with an asymptotic χ² null distribution. The asymptotic distribution of the multicointegration parameter estimator so far has been characterized by a Brownian motion functional, which has been conjectured to have a mixed normal distribution, based on simulations. The present note proves this conjecture.
- Subjects
COINTEGRATION; PROBABILITY theory; MATHEMATICAL statistics; WIENER processes; ECONOMETRICS
- Publication
Econometric Theory, 2010, Vol 26, Issue 5, p1565
- ISSN
0266-4666
- Publication type
Article
- DOI
10.1017/S0266466610000095