{"id":"https://openalex.org/W2106810883","doi":"https://doi.org/10.1111/j.1468-0084.2006.00463.x","title":"The Likelihood Ratio Test for the Rank of a Cointegration Submatrix*","display_name":"The Likelihood Ratio Test for the Rank of a Cointegration Submatrix*","publication_year":2006,"publication_date":"2006-11-23","ids":{"openalex":"https://openalex.org/W2106810883","doi":"https://doi.org/10.1111/j.1468-0084.2006.00463.x","mag":"2106810883"},"language":"en","primary_location":{"id":"doi:10.1111/j.1468-0084.2006.00463.x","doi":"https://doi.org/10.1111/j.1468-0084.2006.00463.x","is_oa":false,"landing_page_url":"https://doi.org/10.1111/j.1468-0084.2006.00463.x","pdf_url":null,"source":{"id":"https://openalex.org/S92565720","display_name":"Oxford Bulletin of Economics and Statistics","issn_l":"0305-9049","issn":["0305-9049","1468-0084"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-c","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Oxford Bulletin of Economics and Statistics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5014558527","display_name":"Paolo Paruolo","orcid":"https://orcid.org/0000-0002-3982-4889","observed_orcids":["https://orcid.org/0000-0002-3982-4889"]},"institutions":[{"id":"https://openalex.org/I115752224","display_name":"University of Insubria","ror":"https://ror.org/00s409261","country_code":"IT","type":"education","lineage":["https://openalex.org/I115752224"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Paolo Paruolo","raw_affiliation_strings":["Department of Economics, University of Insubria, Varese, Italy (e-mail: [email protected] )","Department of Economics, University of Insubria, Varese, Italy (e\u2010mail: paolo.paruolo@uninsubria.it)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, University of Insubria, Varese, Italy (e-mail: [email protected] )","institution_ids":["https://openalex.org/I115752224"]},{"raw_affiliation_string":"Department of Economics, University of Insubria, Varese, Italy (e\u2010mail: paolo.paruolo@uninsubria.it)","institution_ids":["https://openalex.org/I115752224"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5014558527"],"corresponding_institution_ids":["https://openalex.org/I115752224"],"apc_list":{"value":3840,"currency":"USD","value_usd":3840},"apc_paid":null,"fwci":2.0164,"has_fulltext":false,"cited_by_count":11,"citation_normalized_percentile":{"value":0.90876197,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"68","issue":"s1","first_page":"921","last_page":"948"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.8529999852180481,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.8529999852180481,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T13370","display_name":"Diverse Scientific and Economic Studies","score":0.05469999834895134,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0142000000923872,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cointegration","display_name":"cointegration","score":0.8389999866485596},{"id":"https://openalex.org/keywords/rank-deficiency","display_name":"rank deficiency","score":0.5059999823570251},{"id":"https://openalex.org/keywords/likelihood-ratio-test","display_name":"likelihood ratio test","score":0.9520000219345093},{"id":"https://openalex.org/keywords/permanent-transitory-decomposition","display_name":"permanent-transitory decomposition","score":0.9739999771118164},{"id":"https://openalex.org/keywords/neutrality","display_name":"neutrality","score":0.3330000042915344},{"id":"https://openalex.org/keywords/rank-estimation","display_name":"rank estimation","score":0.6800000071525574},{"id":"https://openalex.org/keywords/asymptotic-properties","display_name":"asymptotic properties","score":0.7670000195503235}],"concepts":[{"id":"https://openalex.org/C145162277","wikidata":"https://www.wikidata.org/wiki/Q1751675","display_name":"Cointegration","level":2,"score":0.8501698970794678},{"id":"https://openalex.org/C136886441","wikidata":"https://www.wikidata.org/wiki/Q926129","display_name":"Normalization (sociology)","level":2,"score":0.7654509544372559},{"id":"https://openalex.org/C164226766","wikidata":"https://www.wikidata.org/wiki/Q7293202","display_name":"Rank (graph theory)","level":2,"score":0.755786657333374},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7379987835884094},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.6795565485954285},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.5876131057739258},{"id":"https://openalex.org/C9483764","wikidata":"https://www.wikidata.org/wiki/Q585740","display_name":"Likelihood-ratio test","level":2,"score":0.5319680571556091},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.485624223947525},{"id":"https://openalex.org/C151201525","wikidata":"https://www.wikidata.org/wiki/Q177239","display_name":"Limit (mathematics)","level":2,"score":0.4597371816635132},{"id":"https://openalex.org/C103463560","wikidata":"https://www.wikidata.org/wiki/Q4456449","display_name":"Score test","level":3,"score":0.4535565972328186},{"id":"https://openalex.org/C87007009","wikidata":"https://www.wikidata.org/wiki/Q210832","display_name":"Statistical hypothesis testing","level":2,"score":0.4207457900047302},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.35445818305015564},{"id":"https://openalex.org/C114614502","wikidata":"https://www.wikidata.org/wiki/Q76592","display_name":"Combinatorics","level":1,"score":0.14787369966506958},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.08176770806312561},{"id":"https://openalex.org/C19165224","wikidata":"https://www.wikidata.org/wiki/Q23404","display_name":"Anthropology","level":1,"score":0.0},{"id":"https://openalex.org/C144024400","wikidata":"https://www.wikidata.org/wiki/Q21201","display_name":"Sociology","level":0,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1111/j.1468-0084.2006.00463.x","doi":"https://doi.org/10.1111/j.1468-0084.2006.00463.x","is_oa":false,"landing_page_url":"https://doi.org/10.1111/j.1468-0084.2006.00463.x","pdf_url":null,"source":{"id":"https://openalex.org/S92565720","display_name":"Oxford Bulletin of Economics and Statistics","issn_l":"0305-9049","issn":["0305-9049","1468-0084"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-c","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Oxford Bulletin of Economics and Statistics","raw_type":"journal-article"},{"id":"mag:3123102153","doi":null,"is_oa":false,"landing_page_url":"https://econpapers.repec.org/RePEc:ins:quaeco:qf04024","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:bla:obuest:v:68:y:2006:i:s1:p:921-948","doi":null,"is_oa":false,"landing_page_url":"http://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-0084.2006.00463.x","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"article"},{"id":"pmh:oai:irinsubria.uninsubria.it:11383/1503635","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/11383/1503635","pdf_url":null,"source":{"id":"https://openalex.org/S4377196351","display_name":"IrInSubria (University of Insubria)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I115752224","host_organization_name":"University of Insubria","host_organization_lineage":["https://openalex.org/I115752224"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":30,"referenced_works":["https://openalex.org/W111910962","https://openalex.org/W1494004757","https://openalex.org/W1497122176","https://openalex.org/W1542013999","https://openalex.org/W1963912781","https://openalex.org/W1996298310","https://openalex.org/W1999751520","https://openalex.org/W2015002707","https://openalex.org/W2016087196","https://openalex.org/W2019975447","https://openalex.org/W2032269423","https://openalex.org/W2034133761","https://openalex.org/W2034707435","https://openalex.org/W2037380287","https://openalex.org/W2050342637","https://openalex.org/W2055995010","https://openalex.org/W2062683625","https://openalex.org/W2065630570","https://openalex.org/W2073554267","https://openalex.org/W2076578229","https://openalex.org/W2100361780","https://openalex.org/W2131733003","https://openalex.org/W2158831795","https://openalex.org/W2164599393","https://openalex.org/W3122045115","https://openalex.org/W3124455141","https://openalex.org/W3141830910","https://openalex.org/W4230939740","https://openalex.org/W4231062131","https://openalex.org/W4232770600"],"related_works":["https://openalex.org/W1569445340","https://openalex.org/W2493208819","https://openalex.org/W3122045115","https://openalex.org/W3125562232","https://openalex.org/W2082179565","https://openalex.org/W2909141423","https://openalex.org/W2498126313","https://openalex.org/W1497122176","https://openalex.org/W2164587295","https://openalex.org/W2185333534"],"abstract_inverted_index":{"Abstract":[0],"This":[1],"paper":[2],"proposes":[3],"a":[4,12,53,90],"likelihood":[5],"ratio":[6],"test":[7,22,51],"for":[8,70],"rank":[9,82,100],"deficiency":[10],"of":[11,14,20,26,31,36,40,61,76,80,98],"submatrix":[13],"the":[15,21,24,34,59,62,68,81,96],"cointegrating":[16,32],"matrix.":[17],"Special":[18],"cases":[19],"include":[23],"one":[25,66],"invalid":[27],"normalization":[28,63],"in":[29,67],"systems":[30],"equations,":[33],"feasibility":[35],"permanent\u2013transitory":[37],"decompositions":[38],"and":[39,45,57],"subhypotheses":[41],"related":[42],"to":[43],"neutrality":[44],"long\u2010run":[46],"Granger":[47],"noncausality.":[48],"The":[49,73],"proposed":[50],"has":[52],"chi\u2010squared":[54],"limit":[55],"distribution":[56],"indicates":[58],"validity":[60],"with":[64],"probability":[65],"limit,":[69],"valid":[71],"normalizations.":[72],"asymptotic":[74],"properties":[75],"several":[77],"derived":[78],"estimators":[79],"are":[83],"also":[84],"discussed.":[85],"It":[86],"is":[87,101],"found":[88],"that":[89,93],"testing":[91],"procedure":[92],"starts":[94],"from":[95],"hypothesis":[97],"minimal":[99],"preferable.":[102]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2015,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}
