We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of … interest in finite sample analysis and in relation to recent work on identification robust cointegration inference. We derive … asymptotic theory for tests for cointegration rank and for hypotheses on the cointegrating vectors. The limiting distributions …

This paper investigates the performance of a jackknife correction to a test for cointegration rank in a vector …

We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a … levels. The first step consists in estimating the parameters of the model under the null hypothesis of the cointegration rank … r=1,2,…,p-1. This step provides consistent estimates of the order of fractional cointegration, the cointegration vectors …