The effects of ignoring level shifts on systems cointegration tests

DOI10.1007/S10182-005-0205-XMaRDI QIDQ2474710zbMATH OpenOpenAlexFDO

Authors Carsten Trenkler

Publication date 6 March 2008

Published in AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)

Full work available at URL http://edoc.hu-berlin.de/18452/4167

zbMATH Keywords

Cointegrationlevel shiftMonte Carlo study

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Monte Carlo tests of cointegration with structural breaks
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS
• Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
• Residual-based tests for cointegration in models with regime shifts

Cited in

(1)

• Johansen‐type cointegration tests with a Fourier function

This page was built for publication: The effects of ignoring level shifts on systems cointegration tests

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2474710)