Testing for the cointegration rank when some cointegrating directions are changing

DOI10.1016/j.jeconom.2004.02.003zbMath1335.62124OpenAlexW2061622228MaRDI QIDQ261903

Philippe Andrade, Catherine Bruneau, Stéphane Gregoir

Publication date: 24 March 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.02.003

zbMATH Keywords

rank testscointegrationmultivariate time seriesstructural break

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical ranking and selection procedures (62F07)

Related Items (5)

Regime-switching cointegration ⋮ Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests ⋮ TIME-VARYING COINTEGRATION ⋮ Bayesian inference in a time varying cointegration model ⋮ Cointegration rank switching model: an application to forecasting interest rates

Cites Work

• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Statistical analysis of cointegration vectors
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• Tests of cointegrating rank with trend-break
• Polynomial cointegration. Estimation and test
• Stability tests in error correction models
• Residual-based tests for cointegration in models with regime shifts
• Testing for structural breaks in cointegrated relationships
• Testing for Common Trends
• Testing For and Dating Common Breaks in Multivariate Time Series
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Some tests for parameter constancy in cointegrated VAR‐models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Fully Modified Least Squares and Vector Autoregression
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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