{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,6]],"date-time":"2026-03-06T01:20:35Z","timestamp":1772760035266,"version":"3.50.1"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"6","license":[{"start":{"date-parts":[[2000,12,15]],"date-time":"2000-12-15T00:00:00Z","timestamp":976838400000},"content-version":"unspecified","delay-in-days":14,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2000,12]]},"abstract":"<jats:p>This paper studies asymptotic likelihood inference \non cointegration parameters in systems integrated of order \ntwo. We start with so-called triangular systems and then \nextend the analysis to vector autoregressions. We show \nthat even when all unit root restrictions have been imposed, \nthe asymptotic observed information is not (locally) ancillary, \nwhich implies that the log-likelihood ratio is not locally \nasymptotically mixed normal. The results are applied to \ninference on polynomial cointegration. Some similarities \nand differences with <jats:italic>I<\/jats:italic>(1) systems \nare also discussed.<\/jats:p>","DOI":"10.1017\/s0266466600166046","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T13:45:46Z","timestamp":1027777546000},"page":"878-904","source":"Crossref","is-referenced-by-count":25,"title":["MIXED NORMALITY AND ANCILLARITY IN <i>I<\/i>(2) SYSTEMS"],"prefix":"10.1017","volume":"16","author":[{"given":"H. Peter","family":"Boswijk","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2000,12,15]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466600166046","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,8]],"date-time":"2019-05-08T19:44:48Z","timestamp":1557344688000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466600166046\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2000,12]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2000,12]]}},"alternative-id":["S0266466600166046"],"URL":"https:\/\/doi.org\/10.1017\/s0266466600166046","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2000,12]]}}}