Testing for the cointegrating rank of a var process with level shift at unknown time

Econometrica

Volumn 72, Issue 2, 2004, Pages 647-662

  Lütkepohl, Helmut ^a   Saikkonen, Pentti ^b   Trenkler, Carsten ^c  

^a EUROPEAN UNIVERSITY INSTITUTE   (Italy)

^b UNIVERSITY OF HELSINKI   (Finland)

^c HUMBOLDT UNIVERSITY   (Germany)

Author keywords

Cointegration; Error correction model; Structural break; Vector autoregressive process

Indexed keywords

ASYMPTOTIC STABILITY; COMPUTER SIMULATION; MATHEMATICAL MODELS; MONTE CARLO METHODS; PROBABILITY DISTRIBUTIONS; REGRESSION ANALYSIS; STATISTICAL TESTS; THEOREM PROVING;

COINTEGRATION; ERROR CORRECTION MODEL; STRUCTURAL BREAK; VECTOR AUTOREGRESSIVE PROCESS;

ECONOMICS;

EID: 12144291197     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1468-0262.2004.00505.x     Document Type: Article

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