Title:Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
Author(s):TRENKLER, Carsten; SAIKKONEN, Pentti; LUETKEPOHL, HelmutDate:2006Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible
shift and broken linear trend is proposed. The break point is assumed to be known. The
setup is a VAR process for cointegrated ...
Title:Break Date Estimation for VAR Processes with Level Shift with an Application to Cointegration Testing
Author(s):SAIKKONEN, Pentti; LUETKEPOHL, Helmut; TRENKLER, CarstenDate:2006Type of Publication:ArticleAbstract:In testing for the cointegrating rank of a vector autoregressive process it is important to take into account level shifts that have occurred in the sample period. Therefore the properties of estimators of the time period ...
Title:Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift
Author(s):LUETKEPOHL, Helmut; SAIKKONEN, Pentti; TRENKLER, CarstenDate:2003Type of Publication:ArticleAbstract:Two different types of tests for the cointegrating rank of vector autoregressive processes with a deterministic shift in the level have been proposed in the literature. The first proposal is based on the likelihood ratio ...
