Testing for the cointegration rank when some cointegrating directions are changing

DOI10.1016/j.jeconom.2004.02.003zbMath1335.62124OpenAlexW2061622228MaRDI QIDQ261903

Philippe Andrade, Catherine Bruneau, Stéphane Gregoir

Publication date: 24 March 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.02.003

zbMATH Keywords

rank testscointegrationmultivariate time seriesstructural break

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical ranking and selection procedures (62F07)

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Regime-switching cointegration, Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests, TIME-VARYING COINTEGRATION, Bayesian inference in a time varying cointegration model, Cointegration rank switching model: an application to forecasting interest rates

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