Title of article
APPROXIMATION OF THE ASYMPTOTIC DISTRIBUTION OF THE LOG LIKELIHOOD RATIO TEST FOR COINTEGRATION
Author/Authors
LARSSON، ROLF نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1999
Pages
-788
From page
789
To page
0
Abstract
Tail approximation of the asymptotic distribution of the log likelihood ratio lest for cointegration in a vector autoregressivc process is studied. In dimension 2, an approxinnalion of weighted x ^2 type is derived by applying multivariate saddlepoint approximation techniques lo a Fourier inversion integral.
Keywords
conversation analysis , ideology , rhetoric
Journal title
ECONOMETRIC THEORY
Serial Year
1999
Journal title
ECONOMETRIC THEORY
Record number
21592
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