Comparison of tests for the cointegrating rank of a VAR process with a structural shift

DOI10.1016/S0304-4076(02)00200-2zbMath1024.62035MaRDI QIDQ1869855

Pentti Saikkonen, Carsten Trenkler, Helmut Lütkepohl

Publication date: 28 April 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

cointegration; vector autoregressive process; local power; error correction model; test size

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B84: Economic time series analysis

62M07: Non-Markovian processes: hypothesis testing

Related Items

TIME-VARYING COINTEGRATION, Efficient estimation and inference in cointegrating regressions with structural change, Testing for the Null Hypothesis of Cointegration with a Structural Break, The Co-Integrated Vector Autoregression with Errors–in–Variables

Cites Work

• Tests of cointegrating rank with trend-break
• Stability tests in error correction models
• Residual-based tests for cointegration in models with regime shifts
• Cointegration tests in the presence of structural breaks
• Testing for the cointegrating rank of a VAR process with a time trend
• Cointegration analysis in the presence of structural breaks in the deterministic trend
• Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS