TY - UNPB

T1 - On the Existence of the Moments of the Asymptotic Trace Statistic

AU - Karaman Örsal, Deniz Dilan

AU - Droge, Bernd

PY - 2009

Y1 - 2009

N2 - In this note we establish the existence of the first two moments of the asymptotic trace statistic, which appears as weak limit of the likelihood ratio statistic for testing the cointegration rank in a vector autoregressive model and whose moments may be used to develop panel cointegration tests. Moreover, we justify the common practice to approximate these moments by simulating a certain statistic, which converges weakly to the asymptotic trace statistic. To accomplish this we show that the moments of the mentioned statistic converge to those of the asymptotic trace statistic as the time dimension tends to infinity.

AB - In this note we establish the existence of the first two moments of the asymptotic trace statistic, which appears as weak limit of the likelihood ratio statistic for testing the cointegration rank in a vector autoregressive model and whose moments may be used to develop panel cointegration tests. Moreover, we justify the common practice to approximate these moments by simulating a certain statistic, which converges weakly to the asymptotic trace statistic. To accomplish this we show that the moments of the mentioned statistic converge to those of the asymptotic trace statistic as the time dimension tends to infinity.

KW - Economics

KW - cointegration

KW - trace statistic

KW - Asymptotic moments

KW - Uniform integrability

M3 - Working papers

T3 - SFB 649 Discussion Paper

BT - On the Existence of the Moments of the Asymptotic Trace Statistic

PB - Humboldt-Universität zu Berlin

CY - Berlin

ER -