The purpose of this paper is to prove that all moments of the log likelihood ratio test for cointegration in a vector-autoregressive (VAR) model of arbitrary order with fixed starting values symptotically equal the corresponding moments in a VAR model of order one, plus an error term of order T^-1, where T is the sample size. This generalizes the corresponding result of Larsson (1998a) for unit root tests. We also discuss the implications of our theorem to cointegration testing in panels.

 Key words: Asymptotic error, cointegration. 

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Last update: 1998-12-07 / MC