Ricerc@Sapienza

It is well known that inference on the cointegrating relations in a vector autoregression
(CVAR) is difficult in the presence of a near unit root. The test for a given cointegration vector can have
rejection probabilities under the null, which vary from the nominal size to more than 90%. This paper
formulates a CVAR model allowing for multiple near unit roots and analyses the asymptotic
properties of the Gaussian maximum likelihood estimator. Then two critical value adjustments

The framework of information dynamics allows the dissection of the information processed in a network of multiple interacting dynamical systems into meaningful elements of computation that quantify the information generated in a target system, stored in it, transferred to it from one or more source systems, and modified in a synergistic or redundant way.