Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247542 
Year of Publication: 
2019
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 7 [Issue:] 4 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-35
Publisher: 
MDPI, Basel
Abstract: 
This paper proposes a class of partial cointegrated models allowing for structural breaks in the deterministic terms. Moving-average representations of the models are given. It is then shown that, under the assumption of martingale difference innovations, the limit distributions of partial quasi-likelihood ratio tests for cointegrating rank have a close connection to those for standard full models. This connection facilitates a response surface analysis that is required to extract critical information about moments from large-scale simulation studies. An empirical illustration of the proposed methodology is also provided.
Subjects: 
cointegrating rank
deterministic terms
partial cointegrated vector autoregressive models
response surface
structural breaks
weak exogeneity
JEL: 
C12
C32
C50
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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