We consider Johansen's (1988, 1991) cointegration tests when a Vector AutoRegressive (VAR) process of order k is used to approximate a more general linear process with a possibly infinite VAR representation. Traditional methods to select the lag order, such as Akaike's (AIC) or the Bayesian...

Most studies in the structural change literature focus solely on the conditional mean, while under various circumstances structural change in the conditional distribution or in conditional quantiles is of key importance. This paper proposes several tests for structural change in regression...

, which can be zero, stable cointegrating vectors against the alternative hypothesis of more than r₀ cointegrating vectors existing in some subsample. The tests proposed follow Breitung (2002). They are non-parametric in nature and are invariant to linear transformations of the series. A...

This paper proposes a test statistic for the null hypothesis that a given time series is a stationary long-memory process against the alternative hypothesis that it is affected by regime change or a smoothly varying trend. The proposed test is in the frequency domain and is based on the...