Exact simultaneous and sequential limits for the scaled LR statistic

Let LR0,p,TLR_{0,p,T} be Johansen's likelihood-ratio statistic for testing no cointegrating relationships, with p,Tp,T\to\infty and p/Tc<1/2p/T\to c<1/2 in the simultaneous regime. Scaled LR limit conjecture. The simultaneous and sequential lower bounds are the corresponding limits, namely

limp,Tc12p2LR0,p,T=1+c2c2ln(1+c)1c2c2ln(1c)+12c2c2ln(12c),\lim_{p,T\to_c\infty}\frac{1}{2p^{2}}LR_{0,p,T}=\frac{1+c}{2c^{2}}\ln(1+c)-\frac{1-c}{2c^{2}}\ln(1-c)+\frac{1-2c}{2c^{2}}\ln(1-2c),

and

plimplimT12p2LR0,p,T=1.\operatorname*{plim}_{p\to\infty}\lim_{T\to\infty}\frac{1}{2p^{2}}LR_{0,p,T}=1.

These identities would upgrade the paper's simultaneous and sequential lower bounds to exact asymptotic limits.

Sources & referencesView supporting material

Primary source

Alexei Onatski and Chen Wang, “Alternative asymptotics for cointegration tests in large VARs”, arXiv:1605.08880 (2016).

Progress summary

Never refreshed

Nothing recorded yet. Refresh searches the literature and the public web for attempts on this problem, and writes the first summary here.

Solutions 0

No solutions have been posted yet.