2006-09-11Buch DOI: 10.18452/3997
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
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.
Dateien zu dieser Publikation
Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 67, SFB 649 Papers, ISSN:1860-5664