Testing for the cointegrating rank of a VAR process with structural shifts

Testing for the cointegrating rank of a VAR process with structural shifts

Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift

In testing for the cointegrating rank of a vector autoregressive (VAR) process it is important to take into account level shifts that have occurred in the sample period. Therefore the properties of estimators of the time period where a shift has taken place are investigated. The possible structural break is modelled as a simple shift in the level of the process. Three alternative estimators for...

Testing for the Cointegrating Rank of a Var Process with Level Shift at Unknown Time By

A systems cointegration rank test is proposed that is applicable for vector autoregressive (VAR) processes with a structural shift at unknown time. The structural shift is modeled as a simple shift in the level of the process. It is proposed to estimate the break date first on the basis of a full unrestricted VAR model. Two alternative estimators are considered and their asymptotic properties a...

Testing for the cointegrating rank of a VAR process with a time trend

Standard tests for the cointegrating rank of a vector autoregressive (VAR) process have nonstandard limiting distributions which depend on the characteristics of intercept terms and time trends in the system. In practice, these characteristics are often unknown. Therefore, modi"ed tests are considered which allow for deterministic linear trends in the data generation process (DGP). The tests ar...

Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact [email protected].. The Econometric Society is collaborating with JSTOR to di...