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This even holds if the likelihood is correctly specified. The nuisance parameters have a natural interpretation and can be consistently estimated. Some simulation results illustrate the usefulness of the tests: non-Gaussian pseudolikelihood ratio tests generally have a higher power than the Gaussian test of Johansen if the innovations demonstrate leptokurtic behavior.<\/jats:p>","DOI":"10.1017\/s0266466600005703","type":"journal-article","created":{"date-parts":[[2009,3,10]],"date-time":"2009-03-10T15:36:52Z","timestamp":1236699412000},"page":"149-169","source":"Crossref","is-referenced-by-count":32,"title":["Cointegration Testing Using Pseudolikelihood Ratio Tests"],"prefix":"10.1017","volume":"13","author":[{"given":"Andr\u00e9","family":"Lucas","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2009,2,11]]},"reference":[{"key":"S0266466600005703_ref008","doi-asserted-by":"publisher","DOI":"10.1002\/9780470316719"},{"key":"S0266466600005703_ref026","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600013402"},{"key":"S0266466600005703_ref021","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)01613-5"},{"key":"S0266466600005703_ref034","doi-asserted-by":"publisher","DOI":"10.2307\/1912526"},{"key":"S0266466600005703_ref006","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"S0266466600005703_ref018","doi-asserted-by":"publisher","DOI":"10.1080\/07474939408800284"},{"key":"S0266466600005703_ref020","doi-asserted-by":"publisher","DOI":"10.2307\/3315522"},{"key":"S0266466600005703_ref017","doi-asserted-by":"publisher","DOI":"10.2307\/2938278"},{"key":"S0266466600005703_ref002","volume-title":"Convergence of Probability Measures","author":"Billingsley","year":"1968"},{"key":"S0266466600005703_ref001","volume-title":"Nonparametric Cointegration Analysis","author":"Bierens","year":"1994"},{"key":"S0266466600005703_ref022","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600009191"},{"key":"S0266466600005703_ref011","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600013189"},{"key":"S0266466600005703_ref007","volume-title":"Outlier Robust Cointegration Analysis","author":"Franses","year":"1995"},{"key":"S0266466600005703_ref009","doi-asserted-by":"publisher","DOI":"10.2307\/1913471"},{"key":"S0266466600005703_ref003","unstructured":"Boswijk P. 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