by Rolf Larsson
Research Report 1997:6
Department of Statistics, Stockholm University, S-106 91 Stockholm, Sweden
Tail approximation of the asymptotic distribution of the log likelihood ratio test for cointegration in a vector autoregressive process is studied. An approximation of weighted chi-square type is derived applying multivariate saddlepoint approximation techniques to a Fourier inversion integral
Key words: Cointegration, Likelihood ratio test, Multivariate saddlepoint approximation.
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Last update: 1997-12-16 / KH