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dc.contributor.authorTrenkler, Carstenen
dc.contributor.authorSaikkonen, Penttien
dc.contributor.authorLütkepohl, Helmuten
dc.date.accessioned2006-10-06-
dc.date.accessioned2009-07-23T14:44:12Z-
dc.date.available2009-07-23T14:44:12Z-
dc.date.issued2006-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2006,067en
dc.subject.jelC32en
dc.subject.ddc330en
dc.subject.keywordCointegrationen
dc.subject.keywordstructural breaken
dc.subject.keywordvector autoregressive processen
dc.subject.keyworderror correction modelen
dc.titleTesting for the cointegrating rank of a VAR process with level shift and trend break-
dc.type|aWorking Paperen
dc.identifier.ppn518457508en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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