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

 by Rolf Larsson

 Research Report 1998:4

 Department of Statistics, Stockholm University, S-106 91 Stockholm, Sweden

Abstract

In this paper, a numerical method to study the asymptotic distribution of the log likelihood ratio test for cointegration is presented. The treatment is confined to dimension 2, but may be generalized to higher dimensions in future work. The analysis is based on Fourier inversion via numerical saddlepoint approximation.

 Key words: Cointegration, Saddlepoint approximation. 

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Last update: 1998-05-14 / KH