Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
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Publication:5473025
DOI10.1111/j.1468-0262.2004.00505.xzbMath1091.62079OpenAlexW2124334452MaRDI QIDQ5473025
Carsten Trenkler, Pentti Saikkonen, Helmut Lütkepohl
Publication date: 19 June 2006
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/4263
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05)
Related Items (12)
TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS ⋮ Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point ⋮ Johansen‐type cointegration tests with a Fourier function ⋮ Recursive adjustment for general deterministic components and improved cointegration rank tests ⋮ An I(2) cointegration model with piecewise linear trends ⋮ Efficient estimation and inference in cointegrating regressions with structural change ⋮ Testing for the Null Hypothesis of Cointegration with a Structural Break ⋮ 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 ⋮ ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS ⋮ Cointegration rank switching model: an application to forecasting interest rates ⋮ Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
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