{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,9]],"date-time":"2026-10-09T06:12:14Z","timestamp":1791526334264,"version":"4.3.4"},"reference-count":14,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[2010,4,6]],"date-time":"2010-04-06T00:00:00Z","timestamp":1270512000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2010,10]]},"abstract":"<jats:p>Asymptotic likelihood analysis of cointegration in<jats:italic>I<\/jats:italic>(2) models (see Johansen, 1997, 2006; Boswijk, 2000; Paruolo, 2000) has shown that inference on most parameters is mixed normal, implying hypothesis test statistics with an asymptotic<jats:italic>\u03c7<\/jats:italic><jats:sup>2<\/jats:sup>null distribution. The asymptotic distribution of the multicointegration parameter estimator so far has been characterized by a Brownian motion functional, which has been conjectured to have a mixed normal distribution, based on simulations. The present note proves this conjecture.<\/jats:p>","DOI":"10.1017\/s0266466610000095","type":"journal-article","created":{"date-parts":[[2010,4,7]],"date-time":"2010-04-07T00:40:57Z","timestamp":1270600857000},"page":"1565-1576","source":"Crossref","is-referenced-by-count":10,"title":["MIXED NORMAL INFERENCE ON MULTICOINTEGRATION"],"prefix":"10.1017","volume":"26","author":[{"given":"H. Peter","family":"Boswijk","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2010,4,6]]},"reference":[{"key":"S0266466610000095_ref12","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00012-3"},{"key":"S0266466610000095_ref10","unstructured":"Paruolo P. (1995) Topics in Statistical Inference for Vector Autoregressive Processes Integrated of Order 1 and 2. PhD thesis, University of Copenhagen."},{"key":"S0266466610000095_ref9","unstructured":"Mosconi R. & Paruolo P. (2010) Identification of cointegrating relations in I (2) vector autoregressive models. Working paper, University of Insubria."},{"key":"S0266466610000095_ref5","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600012755"},{"key":"S0266466610000095_ref3","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1986.mp48003002.x"},{"key":"S0266466610000095_ref1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600166046"},{"key":"S0266466610000095_ref14","volume-title":"Time Series Analysis. Nonstationary and Noninvertible Distribution Theory","author":"Tanaka","year":"1996"},{"key":"S0266466610000095_ref11","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600164035"},{"key":"S0266466610000095_ref2","doi-asserted-by":"crossref","first-page":"200","DOI":"10.1093\/oso\/9780198296836.003.0008","volume-title":"Cointegration, Causality and Forecasting: Festschrift in Honour of Clive Granger","author":"Engsted","year":"1999"},{"key":"S0266466610000095_ref6","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9469.00074"},{"key":"S0266466610000095_ref4","first-page":"71","volume-title":"Advances in Econometrics: Cointegration, Spurious Regressions and Unit Roots","author":"Granger","year":"1990"},{"key":"S0266466610000095_ref8","doi-asserted-by":"crossref","DOI":"10.2307\/2531754","volume-title":"Matrix Differential Calculus with Applications in Statistics and Econometrics","author":"Magnus","year":"1988"},{"key":"S0266466610000095_ref13","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(98)00044-X"},{"key":"S0266466610000095_ref7","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.024"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466610000095","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,3,25]],"date-time":"2024-03-25T15:43:58Z","timestamp":1711381438000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466610000095\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2010,4,6]]},"references-count":14,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2010,10]]}},"alternative-id":["S0266466610000095"],"URL":"https:\/\/doi.org\/10.1017\/s0266466610000095","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2010,4,6]]}}}