Approximation of the asymptotic distribution of the log likelihood ratio test for cointegration

被引：0

作者：

Larsson, R ^{[1
]}

机构：

[1] Univ Stockholm, Dept Stat, S-10691 Stockholm, Sweden

来源：

ECONOMETRIC THEORY | 1999年 / 15卷 / 06期

关键词：

D O I：

10.1017/S0266466699156019

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Tail approximation of the asymptotic distribution of the log likelihood ratio test for cointegration in a vector autoregressive process is studied. In dimension 2, an approximation of weighted chi(2) type is derived by applying multivariate saddlepoint approximation techniques to a Fourier inversion integral.

引用

页码：789 / 813

页数：25

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