We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develop asymptotic … distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but of … local power of the proposed tests dominates that of existing cointegration rank tests. …

We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develop asymptotic … distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but of … local power of the proposed tests dominates that of existing cointegration rank tests …

local power of the proposed tests dominates that of existing cointegration rank tests. -- Cointegration rank ; efficiency …We suggest improved tests for cointegration rank in the vector au- toregressive (VAR) model and develop asymptotic … distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but of …

whose moments may be used to develop panel cointegration tests. Moreover, we justify the common practice to approximate … dimension tends to infinity. -- Cointegration ; trace statistic ; asymptotic moments ; uniform integrability …

corresponding Gaussian likelihood ratio test for the cointegrating rank. -- Cointegration ; structural break ; vector autoregressive …

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …