Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247506 
Year of Publication: 
2019
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 7 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-24
Publisher: 
MDPI, Basel
Abstract: 
We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of interest in finite sample analysis and in relation to recent work on identification robust cointegration inference. We derive asymptotic theory for tests for cointegration rank and for hypotheses on the cointegrating vectors. The limiting distributions are tabulated. An application to US treasury yields series is given.
Subjects: 
cointegration
rank deficiency
weak identification
JEL: 
C32
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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