5 problems

Consider the vector autoregression model in which the innovations $(\varepsilon_t)$ are independent and identically distributed over time, with covariance matrix $\Lambda$ and any…

Let $\lambda_1,\ldots,\lambda_p$ be the squared sample canonical correlations between a $p$-dimensional random walk and its innovations. Gaussian fluctuation conjecture. Linear com…

Let $LR_{0,p,T}$ be Johansen's likelihood-ratio statistic for testing no cointegrating relationships, with $p,T\to\infty$ and $p/T\to c<1/2$ in the simultaneous regime. Scaled LR l…

Let $LR_{r,p,T}$ denote the likelihood-ratio statistic for testing $r$ cointegrating relationships, and let $p,T\to\infty$ simultaneously with $p/T\to c$. Gaussian LR fluctuation c…

Let $LR_{r,p,T}$ denote the likelihood-ratio statistic for testing $r$ cointegrating relationships in a $p$-dimensional VAR, and consider the sequential asymptotic regime in which…