A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated variables. The tests are not likelihood ratio tests but the deterministic terms including the broken trends are removed first by a GLS procedure and a likelihood ratio type test i...

For randomized block designs, nonparametric treatment comparisons are usually made using the Friedman test for complete designs, and the Durbin test for incomplete designs; see, for example, Conover (1998). This permits assessment of only the mean rankings. Such comparisons are here extended to permit assessments of bivariate effects such as the linear by linear effect and the quadratic by line...

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...

We provide a simple proof that the Chernoff-Savage [1] result, establishing the uniform dominance of normal-score rank procedures over their Gaussian competitors, also holds in a broad class of problems involving serial and/or multivariate observations. The non-admissibility of the corresponding everyday practice Gaussian procedures (multivariate least-squares estimators, multivariate t-tests a...