[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/p/zbw/sfb373/199882.html
   My bibliography  Save this paper

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

Author

Listed:
  • Saikkonen, Pentti
  • Lütkepohl, Helmut
Abstract
Tests for the cointegrating rank of a vector autoregressive process are considered which allow for possible exogenous shifts in the mean of the data generation process. The break points are assumed to be known a priori. It is proposed to estimate and remove the deterministic terms such as mean, linear trend term and a shift in a first step. Then systems cointegration tests are applied to the adjusted series. The resulting tests are shown to have known limiting null distributions which are free of nuisance parameters and do not depend on the break point. The tests are applied for analyzing the number of cointegrating relations in a German money demand system.

Suggested Citation

  • Saikkonen, Pentti & Lütkepohl, Helmut, 2001. "Testing for the cointegrating rank of a VAR process with structural shifts," SFB 373 Discussion Papers 1998,82, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:199882
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/61232/1/722025017.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:sfb373:199882. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/sfhubde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.