BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING

DOI10.1017/S0266466606060026zbMATH Open1083.62096OpenAlexW2007789106MaRDI QIDQ3377435FDOQ3377435

Authors: Pentti Saikkonen, Carsten Trenkler, Helmut Lütkepohl 

Publication date: 22 March 2006

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466606060026

Recommendations

• Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
• Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
• Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
• Testing for the cointegration rank when some cointegrating directions are changing
• Comparison of tests for the cointegrating rank of a VAR process with a structural shift

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Residual-based tests for cointegration in models with regime shifts
• Cointegration analysis in the presence of structural breaks in the deterministic trend
• Consistent estimation in cointegrated vector autoregressive models with nonlinear time trends in cointegrating relations
• Testing For and Dating Common Breaks in Multivariate Time Series
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Tests for Unit Roots and the Initial Condition
• Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
• TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
• Testing for the cointegrating rank of a VAR process with a time trend
• Trend adjustment prior to testing for the cointegrating rank of a vector autoregressive process
• A REVIEW OF SYSTEMS COINTEGRATION TESTS

Cited In (12)

• Testing for the cointegration rank when some cointegrating directions are changing
• A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
• Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
• Cointegration rank switching model: an application to forecasting interest rates
• Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
• ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
• Level shifts, unit roots and misspecification of the breaking date
• Comparison of tests for the cointegrating rank of a VAR process with a structural shift
• Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
• Bootstrap cointegration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
• Quasi-likelihood estimation of structure-changed threshold double autoregressive models
• Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break

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