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APPROXIMATION OF THE ASYMPTOTIC DISTRIBUTION OF THE LOG LIKELIHOOD RATIO TEST FOR COINTEGRATION
Published online by Cambridge University Press: 01 December 1999
Abstract
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 χ2 type is derived by applying multivariate saddlepoint approximation techniques to a Fourier inversion integral.
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- Research Article
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- © 1999 Cambridge University Press
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