Testing for the Cointegrating Rank of a Var Process with Level Shift at Unknown Time By
نویسندگان
چکیده
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 are derived. In the next step the deterministic part of the process including the shift size is estimated and the series are adjusted by subtracting the estimated deterministic part. A Johansen type test for the cointegrating rank is applied to the adjusted series. The test statistic is shown to have a well-known asymptotic null distribution that does not depend on the break date. The performance of the procedure in small samples is investigated by simulations.
منابع مشابه
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...
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