ABSTRACT
Bent Nielsen
Asymptotic results for cointegration tests in non-stable cases
Asymptotic analyses of unit root tests in autoregressive time series are
usually based on the assumptions that the number of unit roots is known
and that the remaining characteristic roots are stable. The last assumption
seems not to be necessary. This is stated more precisely for two examples.
One is a unit root test in a univariate second order model, the other a
test for at most one cointegrating relation in a bivariate first order
model.