Break date estimation for var processes with level shift with an application to cointegration testing

Econometric Theory

Volumn 22, Issue 1, 2006, Pages 15-68

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

^a UNIVERSITY OF HELSINKI   (Finland)

^b EUROPEAN UNIVERSITY INSTITUTE   (Italy)

^c HUMBOLDT UNIVERSITY   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33644914448     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466606060026     Document Type: Article

References (16)

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12. Saikkonen, P. & M. Lütkepohl (2000a) Testing for the cointegrating rank of a VAR process with structural shifts. Journal of Business & Economic Statistics 18, 451-464.
13. Saikkonen, P. & H. Lütkepohl (2000b) Trend adjustment prior to testing for the cointegrating rank of a vector autoregressive process. Journal of Time Series Analysis 21, 435-456.
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15. Saikkonen, P., H. Lütkepohl, & C. Trenkler (2004) Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift. European University Institute, Florence, Discussion paper ECO 2004/21.
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