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.2016.02.010MaRDI QIDQ281053zbMATH OpenOpenAlexFDO

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

Publication date 10 May 2016

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

Copyright license Creative Commons Attribution 4.0 International

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

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

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Cites work

• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
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• Cointegration rank testing under conditional heteroskedasticity
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• Estimating the dimension of a model
• Further evidence on breaking trend functions in macroeconomic variables
• GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
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• Model selection criteria in multivariate models with multiple structural changes
• Model selection in the presence of nonstationarity
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• 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 Level Shift at Unknown Time
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of cointegrating rank with trend-break
• Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses

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
• Testing for the cointegration rank when some cointegrating directions are changing
• Johansen‐type cointegration tests with a Fourier function
• 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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