Cointegration Rank Tests in Infinite Order Vector Autoregressive Processes <論説>

Mitsuhiro Odaki
order VARs by approximating VAR models whose lag orders are finite but "long", following the results in Saikkonen ( ) that originated inferences based on such a finite lag order VAR approximation. For the test established by this article (hereafter referred as SL test), the lag order of the VAR considered is supposed to be not a fixed integer in the conventional sense but the one that goes to infinity at a "slower" rate as the sample size increases, and the limiting distributions
doi:10.15027/35107 fatcat:ktdp67licfegxhik4hoyi2ce4e