Testing for the Cointegration Rank when Some Cointegrating Directions are Shifting
In this paper we propose a multivariate analysis of a cointegrated vectorial autoregressive model with structural breaks affecting the cointegrating vectors. These changes are previously recognized using a single-equation methodology. Asymptotic properties of the breaks dates estimators allow us to implement a full information maximum likelihood analysis with the breaks identified considered as fixed. Thus, a VECM is estimated, providing a relevant framework to test for non-causality and neutrality tests, as well as impulse response analysis of the dynamics. The methodology is applied to the trivariate system analysed by Gregory and Hansen (1996), with a money variable, an interest rate and the output for the US over the 1960-1990 period.
Year of publication: |
2000-08-01
|
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Authors: | Andrade, Philippe ; Bruneau, Catherine ; Gregoir, Stephane |
Institutions: | Econometric Society |
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