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

DOI10.1016/S0304-4076(02)00200-2MaRDI QIDQ1869855zbMATH OpenOpenAlexFDO

Authors Pentti Saikkonen, Carsten Trenkler, Helmut Lütkepohl

Publication date 28 April 2003

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

Full work available at URL https://doi.org/10.1016/s0304-4076(02)00200-2

zbMATH Keywords

cointegrationvector autoregressive processlocal powererror correction modeltest size

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

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

Cited in

(14)

• BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
• Time-varying cointegration
• Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
• Recursive adjustment for general deterministic components and improved cointegration rank tests
• Testing for the Null Hypothesis of Cointegration with a Structural Break
• Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
• Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses
• Efficient estimation and inference in cointegrating regressions with structural change
• The co-integrated vector autoregression with errors-in-variables
• Johansen‐type cointegration tests with a Fourier function
• Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
• ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
• Testing for the cointegrating rank of a VAR process with a time trend
• Trend adjustment prior to testing for the cointegrating rank of a vector autoregressive process

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