APPROXIMATION OF THE ASYMPTOTIC DISTRIBUTION OF THE LOG LIKELIHOOD RATIO TEST FOR COINTEGRATION
研究了向量自回归过程中协整检验的对数似然比统计量渐近分布的尾部逼近，在二维情形下通过多元鞍点逼近技术导出了加权卡方型近似。
Tail approximation of the asymptotic distribution of the log likelihood ratio test for cointegration in a vector autoregressive process is studied. In dimension 2, an approximation of weighted χ 2 type is derived by applying multivariate saddlepoint approximation techniques to a Fourier inversion integral.