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dc.contributor.authorTrenkler, Carstenen_US
dc.contributor.authorSaikkonen, Penttien_US
dc.contributor.authorLütkepohl, Helmuten_US
dc.date.accessioned2006-10-06en_US
dc.date.accessioned2009-07-23T14:44:12Z-
dc.date.available2009-07-23T14:44:12Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/25150-
dc.description.abstractA 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.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2006,067en_US
dc.subject.jelC32en_US
dc.subject.ddc330en_US
dc.subject.keywordCointegrationen_US
dc.subject.keywordstructural breaken_US
dc.subject.keywordvector autoregressive processen_US
dc.subject.keyworderror correction modelen_US
dc.titleTesting for the cointegrating rank of a VAR process with level shift and trend breaken_US
dc.typeWorking Paperen_US
dc.identifier.ppn518457508en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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