MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS
研究了二阶单整系统中协整参数的渐近似然推断，发现即使施加所有单位根限制，渐近观测信息也不具有局部辅助性，对数似然比不是局部渐近混合正态的，并讨论了与一阶单整系统的异同。
This paper studies asymptotic likelihood inference on cointegration parameters in systems integrated of order two. We start with so-called triangular systems and then extend the analysis to vector autoregressions. We show that even when all unit root restrictions have been imposed, the asymptotic observed information is not (locally) ancillary, which implies that the log-likelihood ratio is not locally asymptotically mixed normal. The results are applied to inference on polynomial cointegration. Some similarities and differences with I (1) systems are also discussed.