Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient

Bernstein, David H.; Nielsen, Bent

doi:10.3390/econometrics7010006

Open AccessArticle

Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient

by

David H. Bernstein

¹

and

Bent Nielsen

^2,*

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

Submission 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.

Keywords: cointegration; rank deficiency; weak identification

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MDPI and ACS Style

Bernstein, D.H.; Nielsen, B. Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient. Econometrics 2019, 7, 6. https://doi.org/10.3390/econometrics7010006

AMA Style

Bernstein DH, Nielsen B. Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient. Econometrics. 2019; 7(1):6. https://doi.org/10.3390/econometrics7010006

Chicago/Turabian Style

Bernstein, David H., and Bent Nielsen. 2019. "Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient" Econometrics 7, no. 1: 6. https://doi.org/10.3390/econometrics7010006

APA Style

Bernstein, D. H., & Nielsen, B. (2019). Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient. Econometrics, 7(1), 6. https://doi.org/10.3390/econometrics7010006

Note that from the first issue of 2016, this journal uses article numbers instead of page numbers. See further details here.

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Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient

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