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dc.contributor.authorTRENKLER, Carsten
dc.contributor.authorSAIKKONEN, Pentti
dc.contributor.authorLUETKEPOHL, Helmut
dc.date.accessioned2006-10-30T12:57:59Z
dc.date.available2006-10-30T12:57:59Z
dc.date.issued2006
dc.identifier.issn1725-6704
dc.identifier.urihttp://hdl.handle.net/1814/6306
dc.description.abstractA 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 variables. The tests are not likelihood ratio tests but the deterministic terms including the broken trends are removed ¯rst by a GLS proce- dure and a likelihood ratio type test is applied to the adjusted series. The asymptotic null distribution of the test is derived and it is shown by a Monte Carlo experiment that the test has better small sample properties in many cases than a corresponding Gaussian likelihood ratio test for the cointegrating rank.en
dc.format.extent350692 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoenen
dc.publisherEuropean University Institute
dc.relation.ispartofseriesEUI ECOen
dc.relation.ispartofseries2006/29en
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectCointegrationen
dc.subjectstructural breaken
dc.subjectvector autoregressive processen
dc.subjecterror correction modelen
dc.titleTesting for the Cointegrating Rank of a VAR Process with Level Shift and Trend Breaken
dc.typeWorking Paperen
dc.neeo.contributorTRENKLER|Carsten|aut|
dc.neeo.contributorSAIKKONEN|Pentti|aut|
dc.neeo.contributorLUETKEPOHL|Helmut|aut|EUI70007
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