The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model
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(239) T=100, Sim = 50, rho1 = +i/2, rho2 = -i/2 1.00. 0.75. 0.50. imaginary. 0.25. 0.00. -0.25. -0.50. -0.75. -1.00 -1.0. -0.5. 0.0. real. 6}hi G. S. 0.5. 1.0.
(240) T=100, Sim = 50, rho1 = +1/2, rho2 = -1/2 1.00. 0.75. 0.50. imaginary. 0.25. 0.00. -0.25. -0.50. -0.75. -1.00 -1.0. -0.5. 0.0. real. 6}hi 2G. .. 0.5. 1.0.
(241) T=100, Sim = 50, rho1 = 0.9, rho2 = 0.5 1.00. 0.75. 0.50. imaginary. 0.25. 0.00. -0.25. -0.50. -0.75. -1.00 -1.0. -0.5. 0.0. real. 6}hi
(242) G. H. 0.5. 1.0.
(243) T=100, Sim = 50, rho1 = 0.95, rho2 = 0.5 1.00. 0.75. 0.50. imaginary. 0.25. 0.00. -0.25. -0.50. -0.75. -1.00 -1.0. -0.5. 0.0. real. 6}hi eG. b. 0.5. 1.0.
(244) Histogram for rhohat T=100, Sim = 500, rho1 = 0.95, 50. 40. number obs. 30. 20. 10. 0 0.6. 0.7. 0.8. rhohat. 6}hi DG. 2f. 0.9. 1.0.
(245) Histogram for Arcsin(rhohat) T=100, Sim = 500, rho1 = 0.95, 35. 30. number obs. 25. 20. 15. 10. 5. 0 0.6. 0.8. 1.0. 1.2. Arcsin(rhohat). 6}hi SG. 2. 1.4. 1.6.
(246) 95% confidence interval with T=50, rho1=(1+i)/2, rho2=(1-i)/2 1.00. 0.75. 0.50. imaginary. 0.25. 0.00. -0.25. -0.50. -0.75. -1.00 -1.0. -0.5. 0.0. real. 6}hi .G. 22. 0.5. 1.0.
(247)
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