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Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
Trenkler, Carsten; Saikkonen, Pentti; Lütkepohl, Helmut - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006
A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated variables. The tests are not likelihood ratio tests but the deterministic...
Persistent link: https://www.econbiz.de/10005861271
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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 - In: Journal of econometrics 113 (2003) 2, pp. 201-229
Persistent link: https://www.econbiz.de/10001738893
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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
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Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - In: The econometrics journal 4 (2001) 4, pp. 287-310
Persistent link: https://www.econbiz.de/10001651359
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Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - 2000
Persistent link: https://www.econbiz.de/10001543855
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Comparison of tests for the cointegrative rank of a VAR process with a structural shift
Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - 2000
Persistent link: https://www.econbiz.de/10001470724
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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 - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 2, pp. 647-662
Persistent link: https://www.econbiz.de/10001978069
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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
Persistent link: https://www.econbiz.de/10001618757
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Testing for the cointegrating rank of a VAR process with level shift and trend break
Trenkler, Carsten (contributor);  … - 2006
A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated variables. The tests are not likelihood ratio tests but the deterministic...
Persistent link: https://www.econbiz.de/10003376003
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Break date estimation for VAR processes with level shift with an application to cointegration testing
Saikkonen, Pentti; Lütkepohl, Helmut; Trenkler, Carsten - In: Econometric theory 22 (2006) 1, pp. 15-68
Persistent link: https://www.econbiz.de/10003272608