Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process

DOI10.1111/1467-9892.00192zbMath0974.62076OpenAlexW2107492725MaRDI QIDQ2744944

Pentti Saikkonen, Helmut Lütkepohl

Publication date: 9 October 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00192

zbMATH Keywords

cointegrationdeterministic trendvector autoregressive processes

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Related Items (15)

Cointegration analysis in the presence of outliers ⋮ Panel cointegration testing in the presence of a time trend ⋮ Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion ⋮ Intersection tests for the cointegrating rank in dependent panel data ⋮ Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors ⋮ Recursive adjustment for general deterministic components and improved cointegration rank tests ⋮ Improved likelihood ratio tests for cointegration rank in the VAR model ⋮ BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS ⋮ Cointegration testing under structural change: reducing size distortions and improving power of residual based tests ⋮ Efficient estimation and inference in cointegrating regressions with structural change ⋮ Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break ⋮ BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING ⋮ Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence ⋮ Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming ⋮ Comparison of tests for the cointegrating rank of a VAR process with a structural shift

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