It is well known that the finite‐sample properties of tests of hypotheses on the co‐integrating vectors in vector autoregressive models can be quite poor, and that current solutions based on Bartlett‐type corrections or bootstrap based on unrestricted parameter estimators are...

This paper presents likelihood analysis of the I(2) cointegrated vector autoregression with piecewise linear deterministic terms. Limiting behavior of the maximum likelihood estimators are derived, which is used to further derive the limiting distribution of the likelihood ratio statistic for...

Estimated characteristic roots in stationary auto-regressions are shown to give rather noisy information about their population equivalents. This is remarkable given the central role of the characteristic roots in the theory of autoregressive processes. In the asymptotic analysis the problems...