Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25328
Authors: 
Örsal, Deniz Dilan Karaman
Droge, Bernd
Year of Publication: 
2009
Series/Report no.: 
SFB 649 discussion paper 2009,012
Abstract: 
In this note we establish the existence of the first two moments of the asymptotic trace statistic, which appears as weak limit of the likelihood ratio statistic for testing the cointe- gration rank in a vector autoregressive model and whose moments may be used to develop panel cointegration tests. Moreover, we justify the common practice to approximate these moments by simulating a certain statistic, which converges weakly to the asymptotic trace statistic. To accomplish this we show that the moments of the mentioned statistic converge to those of the asymptotic trace statistic as the time dimension tends to infinity.
Subjects: 
Cointegration
trace statistic
asymptotic moments
uniform integrability
JEL: 
C32
C33
C12
Document Type: 
Working Paper

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