Comparison of tests for the cointegrating rank of a VAR process with a structural shift

DOI10.1016/S0304-4076(02)00200-2zbMath1024.62035OpenAlexW1982013578MaRDI QIDQ1869855

Pentti Saikkonen, Carsten Trenkler, Helmut Lütkepohl

Publication date: 28 April 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(02)00200-2

zbMATH Keywords

cointegrationvector autoregressive processlocal powererror correction modeltest size

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

Related Items (5)

Johansen‐type cointegration tests with a Fourier function ⋮ Efficient estimation and inference in cointegrating regressions with structural change ⋮ TIME-VARYING COINTEGRATION ⋮ Testing for the Null Hypothesis of Cointegration with a Structural Break ⋮ The Co-Integrated Vector Autoregression with Errors–in–Variables

Cites Work

• Tests of cointegrating rank with trend-break
• Stability tests in error correction models
• Residual-based tests for cointegration in models with regime shifts
• Cointegration tests in the presence of structural breaks
• Testing for the cointegrating rank of a VAR process with a time trend
• Cointegration analysis in the presence of structural breaks in the deterministic trend
• Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS

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