MIXED NORMAL INFERENCE ON MULTICOINTEGRATION
证明了I(2)模型中多协整参数估计量的渐近分布是混合正态的，此前仅通过模拟推测该性质。
Asymptotic likelihood analysis of cointegration in I (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 χ 2 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.