@ARTICLE{17219198_1992,
author = {Osterwald-Lenum, Michael},
keywords = {distribution, likelihood analysis, VAR, асимптотическое распределение, статистика, функция правдоподобия, эконометрический метод},
title = {A Note with Quantiles of the Asymptotic Distribution of the Maximum
Likelihood Cointegration Rank Test Statistics },
journal = {Oxford Bulletin of Economics and Statistics},
year = {1992},
month = {},
volume = {54},
number = {3},
pages = {461-472},
url = {http://ecsocman.hse.ru/text/17219198/},
publisher = {},
language = {ru},
abstract = {The recent literature on maximum likelihood cointegration theory
studies Gaussian vector autoregression (VAR) models allowing for some
deterministic components in the form of polynomials in time. An
examination is presented of such models for variables integrated at
most of order one, when tests for cointegration involve statistics
with non-standard asymptotic distributions. The asymptotic
distributions of these test statistics are known to be functions of
the distribution of certain matrices of stochastic variables
involving integrals of Brownian motions. In fact, conditional on
which restrictions on the coefficients of the polynomial in time are
valid, different asymptotic distributions are obtained. The cases
examined exhaust the hypotheses relevant to the cointegration rank
analysis of I(1) variables in models involving up to linear trends
and possibly seasonal dummies. The examination solves the numerical
problem in making most of the interesting quantiles of these
asymptotic distributions available to the applied econometrician. },
annote = {The recent literature on maximum likelihood cointegration theory
studies Gaussian vector autoregression (VAR) models allowing for some
deterministic components in the form of polynomials in time. An
examination is presented of such models for variables integrated at
most of order one, when tests for cointegration involve statistics
with non-standard asymptotic distributions. The asymptotic
distributions of these test statistics are known to be functions of
the distribution of certain matrices of stochastic variables
involving integrals of Brownian motions. In fact, conditional on
which restrictions on the coefficients of the polynomial in time are
valid, different asymptotic distributions are obtained. The cases
examined exhaust the hypotheses relevant to the cointegration rank
analysis of I(1) variables in models involving up to linear trends
and possibly seasonal dummies. The examination solves the numerical
problem in making most of the interesting quantiles of these
asymptotic distributions available to the applied econometrician. }
}