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Title:Break Date Estimation for VAR Processes with Level Shift with an Application to Cointegration Testing Author(s):SAIKKONEN, Pentti; LUETKEPOHL, Helmut
; TRENKLER, CarstenDate:2006Citation:
- Econometric Theory, 2006, 22, 1, 15-68.
Type: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 ...
; TRENKLER, CarstenDate:2006Citation:
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:Working PaperSeries/Number:EUI ECO; 2006/29Abstract: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 ...
Date:2006Type:Working PaperSeries/Number:EUI ECO; 2006/29Abstract: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 and Cointegration Testing
in VAR Processes with Level Shift Author(s):SAIKKONEN, Pentti; LUETKEPOHL, Helmut; TRENKLER, CarstenDate:2004Type:Working PaperSeries/Number:EUI ECO; 2004/21
; TRENKLER, CarstenDate:2004Type:Working PaperSeries/Number:EUI ECO; 2004/21
Title:Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift Author(s):LUETKEPOHL, Helmut; SAIKKONEN, Pentti; TRENKLER, CarstenDate:2003Citation:
- Journal of Econometrics, 2003, 113, 2, 201-229.
Type: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 ...
; SAIKKONEN, Pentti; TRENKLER, CarstenDate:2003Citation: