This paper presents a maximum likelihood panel test of the cointegrating rank in heterogeneous panel models based on the mean of the individual rank trace statistics. The existence of the first two moments of the asymptotic distribution of the individual trace statistic is established. Based on...

Let {X_{t}} follow a discrete Gaussian Vector Auto-Regression with deterministic components. We derive the exact finite-sample joint Moment Generating Function (MGF) of the quadratic forms that form the basis for the sufficient statistic. The formula is then specialized to the limiting MGF of...

Let {X_{t}} be a discrete multivariate Gaussian autoregressive process of order 1. The paper derives the exact finite-sample joint moment generating function (mgf) of the three quadratic forms constituting the sufficient statistic of the process. The formula is then specialized to some cases of...