Boswijk, H. Peter - In: Econometric Theory 26 (2010) 05, pp. 1565-1576
Asymptotic likelihood analysis of cointegration in <italic>I</italic> (2) models (see Johansen, 1997, 2006; Boswijk, 2000; Paruolo, 2000) has shown that inference on most parameters is mixed normal, implying hypothesis test statistics with an asymptotic <italic>χ</italic><sup>2</sup> null distribution. The asymptotic distribution of the...