Alternative asymptotics for cointegration tests in large VARs

来源 :上海交通大学 | 被引量 : 0次 | 上传用户：dorisnanjin

【摘要】

：

【作者】

：

Chen Wang

【机构】

：

Faculty of Economics,University of Cambridge

【出处】

：

上海交通大学

【发表日期】

：

2016年4期

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　　Johansens(1988,1991)likelihood ratio test for cointegration rank of a Gaussian VAR depends only on the squared sample canonical correlations between current changes and past levels of a simple transformation of the data.We study the asymptotic behaviour of the empirical distribution of those squared canonical correlations when the number of observations and the dimensionality of the VAR diverge to infinity simultaneously and proportionally.

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Alternative asymptotics for cointegration tests in large VARs

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