KROLZIG, Hans-Martin; TORO, Juan - In: Annales d'Economie et de Statistique (2002) 67-68, pp. 41-71
This paper introduces the concept of common deterministic shifts (CDS). This concept is simple, intuitive and relates to the common structure of shifts or policy interventions. We propose a Reduced Rank technique to investigate the presence of CDS. The proposed testing procedure has standard...