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https://hdl.handle.net/10419/25150
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Trenkler, Carsten | en |
dc.contributor.author | Saikkonen, Pentti | en |
dc.contributor.author | Lütkepohl, Helmut | en |
dc.date.accessioned | 2006-10-06 | - |
dc.date.accessioned | 2009-07-23T14:44:12Z | - |
dc.date.available | 2009-07-23T14:44:12Z | - |
dc.date.issued | 2006 | - |
dc.identifier.uri | http://hdl.handle.net/10419/25150 | - |
dc.description.abstract | 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. | en |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlin | en |
dc.relation.ispartofseries | |aSFB 649 Discussion Paper |x2006,067 | en |
dc.subject.jel | C32 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Cointegration | en |
dc.subject.keyword | structural break | en |
dc.subject.keyword | vector autoregressive process | en |
dc.subject.keyword | error correction model | en |
dc.title | Testing for the cointegrating rank of a VAR process with level shift and trend break | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 518457508 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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