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The effects of ignoring level shifts on systems cointegration tests
Trenkler, Carsten - 2002
cointegration tests that do not accommodate level shifts. I consider two groups of Likelihood Ratio tests based on procedures … rank smaller than one suggested by procedures which accommodate the shifts. -- Systems cointegration tests ; Level shifts …
Persistent link: https://www.econbiz.de/10009626747
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Testing for the cointegrating rank of a VAR process with level shift at unknown time
Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - 2001
A systems cointegration rank test is proposed which is applicable for vector autoregressive (VAR) processes with a … econometric analyses. -- Cointegration ; structural break ; vector autoregressive process ; error correction model …
Persistent link: https://www.econbiz.de/10009614873
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Comparison of tests for the cointegrating rank of a VAR process with a structural shift
Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - 2000
size properties. -- local power ; test size ; cointegration ; vector autoregressive process ; error correction model …
Persistent link: https://www.econbiz.de/10009582388
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Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - 2000
The properties of a range of maximum eigenvalue and trace tests for the cointegrating rank of a vector autoregressive process are compared. The tests are alilikelihood ratio type tests and operate under different assumptions regarding the deterministic part of the data generation process. The...
Persistent link: https://www.econbiz.de/10009612040
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The Polish crawling peg system : a cointegration analysis
Trenkler, Carsten - 2000
comprising the basket on the other hand are expected to exist. I test for such long-run relationships within the cointegration … has to apply cointegration tests taking such structural shifts into account. Using recently developed test procedures I … find the postulated cointegration relations and conclude that the monetary authorities could defend the crawling peg for …
Persistent link: https://www.econbiz.de/10009612052