Please use this identifier to cite or link to this item:
Trenkler, Carsten
Saikkonen, Pentti
Lütkepohl, Helmut
Year of Publication: 
Series/Report no.: 
SFB 649 discussion paper 2006,067
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.
structural break
vector autoregressive process
error correction model
Document Type: 
Working Paper

Files in This Item:
539.86 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.