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MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS

Published online by Cambridge University Press:  15 December 2000

H. Peter Boswijk
H. Peter Boswijk
Affiliation:
University of Amsterdam
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Abstract

This paper studies asymptotic likelihood inference on cointegration parameters in systems integrated of order two. We start with so-called triangular systems and then extend the analysis to vector autoregressions. We show that even when all unit root restrictions have been imposed, the asymptotic observed information is not (locally) ancillary, which implies that the log-likelihood ratio is not locally asymptotically mixed normal. The results are applied to inference on polynomial cointegration. Some similarities and differences with I(1) systems are also discussed.

Type
Research Article
Information
Econometric Theory , Volume 16 , Issue 6 , December 2000 , pp. 878 - 904
Copyright
© 2000 Cambridge University Press

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