Exact simultaneous and sequential limits for the scaled LR statistic
Exact simultaneous and sequential limits for the scaled LR statistic
Let be Johansen's likelihood-ratio statistic for testing no cointegrating relationships, with and in the simultaneous regime. Scaled LR limit conjecture. The simultaneous and sequential lower bounds are the corresponding limits, namely
and
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).
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