- Mixed normal inference on multicointegration
- Number of pages
- Amsterdam: University of Amsterdam
- UvA-Econometrics Discussion Paper
- Volume | Edition (Serie)
- Document type
- Working paper
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
Asymptotic likelihood analysis of cointegration in I(2) models, see Johansen (1997, 2006),
Boswijk (2000) and Paruolo (2000), has shown that inference on most parameters is mixed normal, implying hypothesis test statistics with an asymptotic 2 null distribution. The asymptotic distribution of the multicointegration parameter estimator so far has been characterised by a Brownian motion functional, which has been conjectured to have a mixed normal distribution, based on simulations. The present paper proves this conjecture.
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