Testing for the cointegration rank when some cointegrating directions are changing

Journal of Econometrics

Volumn 124, Issue 2, 2005, Pages 269-310

  Andrade, Philippe ^a   Bruneau, Catherine ^b   Gregoir, Stéphane ^c  

^a UNIVERSITÉ DE CERGY PONTOISE   (France)

^b UNIVERSITÉ PARIS OUEST NANTERRE LA DÉFENSE   (France)

^c CREST   (France)

Author keywords

Cointegration; Multivariate time series; Rank tests; Structural break

Indexed keywords

ASYMPTOTIC STABILITY; CONSTRAINT THEORY; MATHEMATICAL MODELS; MATRIX ALGEBRA; PARAMETER ESTIMATION; PROBABILITY; STATISTICAL METHODS; TESTING; VECTORS;

COINTEGRATION; MULTIVARIATE TIME SERIES; RANK TESTS; STRUCTURAL BREAK;

REGRESSION ANALYSIS;

EID: 9644278052     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2004.02.003     Document Type: Article

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