Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point

DOI10.1016/j.jeconom.2016.02.010zbMath1420.62381OpenAlexW2267069012MaRDI QIDQ281053

F. Blanchet-Sadri, M. Dambrine

Publication date: 10 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.02.010

zbMATH Keywords

information criteriavector autoregressionbreak point estimationco-integration rankerror-correction modeltrend break

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point ⋮ Cointegration Rank Estimation for High-Dimensional Time Series With Breaks ⋮ Johansen‐type cointegration tests with a Fourier function ⋮ Testing for cointegration with threshold adjustment in the presence of structural breaks ⋮ Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending

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