Template-type: ReDIF-Paper 1.0
Author-Name: David Bernstein
Author-Workplace-Name: Dept of Economics, University of Miami
Author-Email: davebernstein1@gmail.com
Author-Name: Bent Nielsen
Author-Workplace-Name: Dept of Economics and Nuffield College, Oxford University
Author-Email: bent.nielsen@nuffield.ox.ac.uk.
Title: Asymptotic theory for cointegration analysis when the cointegration rank is deficient
Abstract: We consider cointegration tests in the situation where the cointegration
rank is decient. This situation is of interest in nite sample analysis and in relation
to recent work on identication 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.
X-Classification-JEL: 
Keywords: Cointegration, rank deciency, weak identication.
Length: 23 pages
Creation-Date: 2014-10-01
Number: 2014-W06
File-URL: http://www.nuffield.ox.ac.uk/economics/papers/2014/CointegrationRankDeficient.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:1406