@techreport{Trenkler2006Testing,
abstract = {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 is applied to the adjusted series. The asymptotic null distribution of the test is derived and it is shown by a Monte Carlo experiment that the test has better small sample properties in many cases than a corresponding Gaussian likelihood ratio test for the cointegrating rank.},
address = {Berlin},
author = {Carsten Trenkler and Pentti Saikkonen and Helmut L\"{u}tkepohl},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C32; 330; Cointegration; structural break; vector autoregressive process; error correction model},
language = {eng},
number = {2006,067},
publisher = {SFB 649, Economic Risk},
title = {Testing for the cointegrating rank of a VAR process with level shift and trend break},
type = {SFB 649 discussion paper},
url = {http://hdl.handle.net/10419/25150},
year = {2006}
}