Statistical inference on cointegration rank in error correction models with stationary covariates

Research output: Contribution to journalArticle

17 Citations (Scopus)

Abstract

This paper aims to extend the cointegration rank test to error correction models with exogenous stationary covariates. The distribution of the likelihood ratio statistic is a function of the canonical correlations between the equation errors with and without the covariates. The distribution approaches the chi-squared distribution as the stationary covariates lower the canonical correlations. This enables more powerful inference concerning the determination of the cointegration rank.

Original languageEnglish
Pages (from-to)339-385
Number of pages47
JournalJournal of Econometrics
Volume85
Issue number2
Publication statusPublished - 1998 Aug 1
Externally publishedYes

Fingerprint

Error Correction Model
Cointegration
Error correction
Statistical Inference
Covariates
Canonical Correlation
Statistics
Chi-squared distribution
Rank Test
Likelihood Ratio Statistic
Error correction model
Statistical inference
Canonical correlation

Keywords

  • Cointegration
  • Error correction models
  • Power
  • Stationary covariates

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance
  • Statistics and Probability

Cite this

Statistical inference on cointegration rank in error correction models with stationary covariates. / Seo, Byeongseon.

In: Journal of Econometrics, Vol. 85, No. 2, 01.08.1998, p. 339-385.

Research output: Contribution to journalArticle

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