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Title:Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term Author(s):DEMETRESCU, Matei; LUETKEPOHL, Helmut
; SAIKKONEN, PenttiDate:2009Citation:
- Econometrics Journal, 2009, 12, 3, 414-435
Type:ArticleAbstract:P>When applying Johansen's procedure for determining the cointegrating rank to systems of variables with linear deterministic trends, there are two possible tests to choose from. One test allows for a trend in the cointegration ...
; SAIKKONEN, PenttiDate:2009Citation:
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: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: