APPROXIMATION OF THE ASYMPTOTIC DISTRIBUTION OF THE LOG LIKELIHOOD RATIO TEST FOR COINTEGRATION

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.