Approximation ot the Asymptotic Distribution of the Log Likelihood Ratio Test for Cointegration

 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. 

Close this Window

Last update: 1997-12-16 / KH