BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
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Publication:3377435
DOI10.1017/S0266466606060026zbMath1083.62096OpenAlexW2007789106MaRDI QIDQ3377435
Pentti Saikkonen, Carsten Trenkler, Helmut Lütkepohl
Publication date: 22 March 2006
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466606060026
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)
Related Items (6)
Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion ⋮ BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS ⋮ Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break ⋮ A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables ⋮ Quasi-likelihood estimation of structure-changed threshold double autoregressive models ⋮ Cointegration rank switching model: an application to forecasting interest rates
Cites Work
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- Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process
- Testing For and Dating Common Breaks in Multivariate Time Series
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
- Tests for Unit Roots and the Initial Condition
- Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
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