Asymptotic Inference on Cointegrating Rank in Partial Systems

Ingrid Harbo · Søren Johansen · Bent Juhl Nielsen · Anders Rahbek

241 citations0/0 files storedJournal of Business and Economic Statistics

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Abstract

The likelihood ratio test for cointegrating rank is analyzed for partial (or conditional) systems in the vector autoregressive error-correction model. Under the assumption of weak exogeneity for the cointegrating parameters, the asymptotic distributions are given and tables of critical values are provided. A discussion is given of some of the assumptions of the model, why they are needed, and how they are tested.

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References

1978Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom 1992Cointegration in partial systems and the efficiency of single-equation analysis 1992Testing weak exogeneity and the order of cointegration in UK money demand data 1991Modeling the demand for narrow money in the United Kingdom and the United States 1993Testing superexogeneity and invariance in regression models

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