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.2016.02.010zbMATH Open1420.62381OpenAlexW2267069012MaRDI QIDQ281053FDOQ281053

Authors: David Harris, Stephen Leybourne, A. M. Robert Taylor 

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

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

Cites Work

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• Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
• A modified information criterion for cointegration tests based on a VAR approximation
• Cointegration rank testing under conditional heteroskedasticity
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
• Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
• Testing for a unit root in the presence of a possible break in trend
• GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses
• Model selection in the presence of nonstationarity
• Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
• A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
• Model selection criteria in multivariate models with multiple structural changes

Cited In (11)

• BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
• Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
• Johansen‐type cointegration tests with a Fourier function
• Testing for the cointegration rank when some cointegrating directions are changing
• Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
• Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
• Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
• Cointegration Rank Estimation for High-Dimensional Time Series With Breaks
• Testing for cointegration with threshold adjustment in the presence of structural breaks
• Cointegration analysis in the presence of structural breaks in the deterministic trend
• Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break

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