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MIXED NORMAL INFERENCE ON MULTICOINTEGRATION

Published online by Cambridge University Press:  06 April 2010

H. Peter Boswijk
H. Peter Boswijk*
Affiliation:
University of Amsterdam
*
*Address correspondence to H. Peter Boswijk, Department of Quantitative Economics, University of Amsterdam, Roetersstraat 11, NL-1018 WB Amsterdam, The Netherlands; e-mail: h.p.boswijk@uva.nl.
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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.

Type
NOTES AND PROBLEMS
Information
Econometric Theory , Volume 26 , Issue 5 , October 2010 , pp. 1565 - 1576
Copyright
Copyright © Cambridge University Press 2010

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References

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