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APPROXIMATION OF THE ASYMPTOTIC DISTRIBUTION OF THE LOG LIKELIHOOD RATIO TEST FOR COINTEGRATION

Published online by Cambridge University Press:  01 December 1999

Rolf Larsson
Rolf Larsson
Affiliation:
Stockholm University
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Abstract

Tail approximation of the asymptotic distribution of the log likelihood ratio test for cointegration in a vector autoregressive process is studied. In dimension 2, an approximation of weighted χ2 type is derived by applying multivariate saddlepoint approximation techniques to a Fourier inversion integral.

Type
Research Article
Information
Econometric Theory , Volume 15 , Issue 6 , December 1999 , pp. 789 - 813
Copyright
© 1999 Cambridge University Press

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