Universality of the likelihood-ratio statistic under stable finite-order VAR dynamics

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Fix k∈Nk\in\mathbb{N} and C>0C>0. Suppose that the data-generating process satisfies

ΔXt=μ+∑i=1k−1ΓiΔXt−i+εt,t=1,…,T,\Delta X_t=\mu+\sum_{i=1}^{k-1}\Gamma_i\Delta X_{t-i}+\varepsilon_t,\qquad t=1,\ldots,T,

where the innovations are independent and identically distributed as N(0,Λ)\mathcal{N}(0,\Lambda), the covariance matrix satisfies ∥Λ∥2<C\|\Lambda\|_2<C and ∥Λ−1∥2<C\|\Lambda^{-1}\|_2<C, ∥Γi∥2<C\|\Gamma_i\|_2<C and rank⁡(Γi)<C\operatorname{rank}(\Gamma_i)<C for 1≤i≤k−11\leq i\leq k-1, all roots of

det⁡(1N−∑i=1k−1Γizi)=0\det\left(\mathbf{1}_N-\sum_{i=1}^{k-1}\Gamma_i z^i\right)=0

are such that ∣z∣>1+C−1|z|>1+C^{-1}, and ∥ΓjΔX1−i∥2≤C\|\Gamma_j\Delta X_{1-i}\|_2\leq C and ∥Γjμ∥≤C\|\Gamma_j\mu\|\leq C for 1≤i,j≤k−11\leq i,j\leq k-1. Universality conjecture. As T,N→∞T,N\to\infty with T/N∈[k+1+C−1,C]T/N\in[k+1+C^{-1},C], the conclusion of Theorem J continues to hold with the same centering and scaling constants c1(N,T)c_1(N,T) and c2(N,T)c_2(N,T):

∑i=1rln⁡(1−λ~i)−r c1(N,T)N−2/3c2(N,T)→T,N→∞d∑i=1rai.\frac{\sum_{i=1}^{r}\ln(1-\tilde{\lambda}_i)-r\,c_1(N,T)}{N^{-2/3}c_2(N,T)}\xrightarrow[T,N\to\infty]{d}\sum_{i=1}^{r}\mathfrak{a}_i.

This extends the asserted asymptotics beyond the null model to stable finite-order vector autoregressions with bounded coefficient ranks and covariance conditioning. The supplied text does not identify whether this conjecture is proved or remains open.

References

Primary source

Anna Bykhovskaya and Vadim Gorin, “Asymptotics of Cointegration Tests for High-Dimensional VAR(k)”, arXiv:2202.07150 (2023).

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