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 …

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 …

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 …

weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first …

fully modified (FM), VAR rank test has a x2 distribution for the null of cointegration but is degenerate for the null of no … cointegration, unlike its LR counterpart which is well defined for both nulls. It turns out that augmenting the VAR by an exogenous …