Comparison of tests for the cointegrating rank of a VAR process with a structural shift
DOI10.1016/S0304-4076(02)00200-2zbMATH Open1024.62035OpenAlexW1982013578MaRDI QIDQ1869855FDOQ1869855
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
Recommendations
- Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
- TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
- Testing for the cointegrating rank of a VAR process with a time trend
- Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
- BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
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)
Cites Work
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- 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
- Cointegration analysis in the presence of structural breaks in the deterministic trend
- LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
- 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
Cited In (14)
- BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
- Johansen‐type cointegration tests with a Fourier function
- Testing for the Null Hypothesis of Cointegration with a Structural Break
- Trend adjustment prior to testing for the cointegrating rank of a vector autoregressive process
- Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
- Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses
- Efficient estimation and inference in cointegrating regressions with structural change
- ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
- Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
- The co-integrated vector autoregression with errors-in-variables
- Time-varying cointegration
- Recursive adjustment for general deterministic components and improved cointegration rank tests
- Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
- Testing for the cointegrating rank of a VAR process with a time trend
This page was built for publication: Comparison of tests for the cointegrating rank of a VAR process with a structural shift
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1869855)
