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Cointegrated vector autoregressive processes with continuous structural changes

Ripatti, Antti; Saikkonen, Pentti - 1998

Persistent link: https://www.econbiz.de/10000683852

Break date estimation and cointegration testing in VAR processes with level shift

Saikkonen, Pentti (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002113171

Stability of regime switching error correction models under linear cointegration

Saikkonen, Pentti - In: Econometric theory 24 (2008) 1, pp. 294-318

Persistent link: https://www.econbiz.de/10003894159

Residual autocorrelation testing for vector error correction models

Brüggemann, Ralf; Lütkepohl, Helmut; Saikkonen, Pentti - In: Journal of econometrics 134 (2006) 2, pp. 579-604

Persistent link: https://www.econbiz.de/10003374345

Testing for the cointegrating rank of a VAR process with level shift and trend break

Trenkler, Carsten (contributor); … - 2006

corresponding Gaussian likelihood ratio test for the cointegrating rank. -- Cointegration ; structural break ; vector autoregressive …

Persistent link: https://www.econbiz.de/10003376003

Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term

Demetrescu, Matei; Lütkepohl, Helmut; Saikkonen, Pentti - In: The econometrics journal 12 (2009) 3, pp. 414-435

Persistent link: https://www.econbiz.de/10003948827

Tests for nonlinear cointegration

Choi, In; Saikkonen, Pentti - In: Econometric theory 26 (2010) 3, pp. 682-709

Persistent link: https://www.econbiz.de/10003992424

Testing for the cointegrating rank of a VAR process with an intercept

Saikkonen, Pentti; Lütkepohl, Helmut - 1998

Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. In addition to the likelihood ratio (LR) tests developed by Johansen and Juselius and others we also consider an alternative class of tests which is based on estimating the trend parameters of the...

Persistent link: https://www.econbiz.de/10009578014

Testing for the cointegrating rank of a VAR process with structural shifts

Saikkonen, Pentti; Lütkepohl, Helmut - 2001

cointegration tests are applied to the adjusted series. The resulting tests are shown to have known limiting null distributions …

Persistent link: https://www.econbiz.de/10009578552

Local power of likelihood ratio tests for the cointegrating rank of a VAR process

Saikkonen, Pentti; Lütkepohl, Helmut - 1997

Likelihood ratio (LR) tests for the cointegrating rank of a vector autoregressive (VAR) process have been developed under different assumptions regarding deterministic terms. For instance, nonzero mean terms and linear trends have been accounted for in some of the tests. In this paper we provide...

Persistent link: https://www.econbiz.de/10009659070