1995 Reports

The Limiting Distribution of the Cointegration Test Statistic in VAR(n) Models

Dhrymes, Phoebus J.

This paper obtains the limiting distribution of the trace test for cointegration in the context of the VAR (n) model dealt with in Johansen (1988), (1991). The limiting distribution in question turns out to be that of a linear combination of mutually independent chi-squared variables all with the same degree of freedom parameter. The coefficients of the linear combination are characteristic roots of a certain positive definite matrix which may be estimated consistently.