Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - In: Econometrica 72 (2004) 2, pp. 647-662
A systems cointegration rank test is proposed that is applicable for vector autoregressive (VAR) processes with a structural shift at unknown time. The structural shift is modeled as a simple shift in the level of the process. It is proposed to estimate the break date first on the basis of a...