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SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/25150
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| Title: | | Testing for the cointegrating rank of a VAR process with level shift and trend break  |
| Authors: | | Trenkler, Carsten Saikkonen, Pentti Lütkepohl, Helmut |
| Issue Date: | | 2006 |
| Series/Report no.: | | SFB 649 discussion paper 2006,067 |
| 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. |
| Subjects: | | Cointegration structural break vector autoregressive process error correction model |
| JEL: | | C32 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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