Testing for the Cointegrating Rank of a VAR Process With Structural Shifts
Bibliographic Data
| ID | 19419476 |
|---|---|
| Authors | Pentti Saikkonen (a Department of Statistics , University of Helsinki , FIN-00014 University of Helsinki, Finland E-mail), Helmut Lütkepohl (b Institut für Statistik und Ökonometrie, Wirtschaftswissenschaftliche Fakultät, Humboldt-University , 10178 , Berlin , Germany E-mail) |
| Year | 2000 |
| Volume | 18 |
| Issue | 4 |
| Pages | 451-464 |
| Publication date | 2000-10-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2000.10524884 |
| OpenAlex | W1980663432 |
| Language | EN |
| Citations received | 9 |
| References cited | 27 |
Tests for the cointegrating rank of a vector autoregressive process are considered that allow for possible exogenous shifts in the mean of the data-generation process. The break points are assumed to be known a priori. It is proposed to estimate and remove the deterministic terms such as mean, linear-trend term, and a shift in a first step. Then systems cointegration tests are applied to the adjusted series. The resulting tests are shown to have known limiting null distributions that are free of nuisance parameters and do not depend on the break point. The tests are applied for analyzing the number of cointegrating relations in two German money-demand systems
A priori and a posteriori · Autoregressive model · Cointegration · Econometrics · Estimator · Nuisance parameter · Null hypothesis · Statistical hypothesis testing · Statistics · Structural break · Economic theories and models · Economics of Agriculture and Food Markets · Mathematics · Monetary Policy and Economic Impact
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| Unique citing works | 9 |
|---|---|
| Citations per year | 0,47 |
| Citation span | 2007 - 2026 (20) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 8 |