TESTING THE COINTEGRATING RANK WHEN THE ERRORS ARE UNCORRELATED BUT NONINDEPENDENT

Hamdi Raïssi (1)

1 IRMAR - Institut de Recherche Mathématique de Rennes

We study the asymptotic behaviour of the reduced rank estimator of the cointegrating space and adjustment space for vector error correction time series models with nonindependent innovations. It is shown that the distribution of the adjustment space can be quite different for models with iid innovations and models with nonindependent innovations. It is also shown that the likelihood ratio test remains valid when the assumption of iid Gaussian errors is relaxed. Monte Carlo experiments illustrate the finite sample performance of the likelihood ratio test using various kinds of weak error processes.

Mots clés: Cointegration; reduced rank regression; likelihood ratio test; strong mixing condition; vector error correction model

Domaines: Applications [stat.AP]; Méthodologie [stat.ME]

Hamdi Raïssi. TESTING THE COINTEGRATING RANK WHEN THE ERRORS ARE UNCORRELATED BUT NONINDEPENDENT. Stochastic Analysis and Applications, 2009, 27, pp.24-50. ⟨hal-00517094⟩