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638 – New Approaches to Disclosure-Safe Dissemination of Medicare Claims Data
Statistical Inference in Infinite-order Cointegrated Vector Autoregressive Processes Under Uncorrelated but Dependent Errors
Sponsor: Business and Economic Statistics Section
Keywords: Cointegrated Processes, Weak Errors, Autoregressive Processes, Infinite Order, LR Tests, QML Estimators
Chafik Bouhaddioui
United Arab Emirates University
The concept of cointegration processes is one of the most used concepts in economics and finance. Mainly, researchers are interested in behavior of the estimators of the model parameters. In this paper, we will investigate the asymptotic behavior of the estimators of an infinite-order cointegrated vector autoregressive series under nonindependent errors by showing its asymptotic distribution. Using this result, we will construct a Likelihood Ratio (LR) test of the cointegration rank. One can also develop a method under unrestrictive assumptions to select the autoregressive order.