This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Carsten Trenkler
Pentti Saikkonen
Helmut Luetkepohl

Additional information is available for the following registered author(s):

Abstract

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 terms including the broken trends are removed first by a GLS procedure and a likelihood ratio type test is applied to the adjusted series. The asymptotic null distribution of the test is derived and it is shown by a Monte Carlo experiment that the test has better small sample properties in many cases than a corresponding Gaussian likelihood ratio test for the cointegrating rank.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://cadmus.iue.it/dspace/bitstream/1814/6306/1/ECO_2006_29.pdf
File Format:
File Function: main text
Download Restriction: no

Publisher Info
Paper provided by European University Institute in its series Economics Working Papers with number ECO2006/29.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length:
Date of creation: 2006
Date of revision:
Handle: RePEc:eui:euiwps:eco2006/29

Contact details of provider:
Postal: Badia Fiesolana, Via dei Roccettini, 9, 50016 San Domenico di Fiesole (FI) Italy
Phone: +39-055-4685.982
Fax: +39-055-4685.902
Web page: http://www.eui.eu/ECO/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Marcia Gastaldo).

Related research
Keywords: Cointegration structural break vector autoregressive process error correction model

Other versions of this item:

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Kurt Geppert & Martin Gornig & Axel Werwatz, 2006. "Economic Growth of Agglomerations and Geographic Concentration of Industries – Evidence for Germany," SFB 649 Discussion Papers SFB649DP2006-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    Other versions:
  2. Bruno Deffains & Dominique Demougin, 2006. "Institutional Competition, Political Process and Holdup," SFB 649 Discussion Papers SFB649DP2006-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  3. Enzo Weber, 2006. "Common and Uncommon Sources of Growth in Asia Pacific," SFB 649 Discussion Papers SFB649DP2006-064, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    Other versions:
  4. Enzo Weber, 2006. "The Euro and the Transatlantic Capital Market Leadership: A Recursive Cointegration Analysis," SFB 649 Discussion Papers SFB649DP2006-056, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  5. Cliff L.F. Attfield & Jonathan R.W. Temple, 2003. "Measuring trend output: how useful are the Great Ratios?," Bristol Economics Discussion Papers 03/555, Department of Economics, University of Bristol, UK. [Downloadable!]
    Other versions:
  6. Benjamin Bental & Dominique Demougin, 2006. "Institutions, Bargaining Power and Labor Shares," SFB 649 Discussion Papers SFB649DP2006-009, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  7. Toda, Hiro Y, 1994. "Finite Sample Properties of Likelihood Ratio Tests for Cointegrating Ranks when Linear Trends are Present," The Review of Economics and Statistics, MIT Press, vol. 76(1), pages 66-79, February. [Downloadable!] (restricted)
  8. Bernd Görzig & Martin Gornig & Axel Werwatz, 2006. "Produktdiversifizierung: Haben die ostdeutschen Unternehmen den Anschluss an den Westen geschafft? – Eine vergleichende Analyse mit Mikrodaten der amtlichen Statistik," SFB 649 Discussion Papers SFB649DP2006-046, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  9. Ralf Brüggemann & Helmut Lütkepohl & Massimiliano Marcellino, 2006. "Forecasting Euro-Area Variables with German Pre-EMU Data," SFB 649 Discussion Papers SFB649DP2006-065, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    Other versions:
  10. Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1991. "Stochastic trends and economic fluctuations," Working Paper Series, Macroeconomic Issues 91-4, Federal Reserve Bank of Chicago.
    Other versions:
  11. Bruno Deffains & Dominique Demougin, 2006. "Governance: Who Controls Matters," SFB 649 Discussion Papers SFB649DP2006-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  12. Hans Gersbach & Harald Uhlig, 2006. "On the Coexistence of Banks and Markets," SFB 649 Discussion Papers SFB649DP2006-054, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    Other versions:
  13. Carsten Trenkler, 2006. "Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms," SFB 649 Discussion Papers SFB649DP2006-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  14. Harald Uhlig, 2006. "Approximate Solutions to Dynamic Models - Linear Methods," SFB 649 Discussion Papers SFB649DP2006-030, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  15. Carsten Trenkler & Pentti Saikkonen & Helmut Luetkepohl, 2006. "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," Economics Working Papers ECO2006/29, European University Institute. [Downloadable!]
    Other versions:
  16. Harald Uhlig, 2006. "Regional Labor Markets, Network Externalities and Migration: The Case of German Reunification," American Economic Review, American Economic Association, vol. 96(2), pages 383-387, May.
    Other versions:
  17. Lans Bovenberg & Harald Uhlig, 2006. "Pension Sytems and the Allocation of Macroeconomic Risk," SFB 649 Discussion Papers SFB649DP2006-066, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    Other versions:
  18. Trabandt, Mathias & Uhlig, Harald, 2006. "How Far Are We From the Slippery Slope? The Laffer Curve Revisited," CEPR Discussion Papers 5657, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  19. Kirstin Hubrich & Helmut Lütkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor and Francis Journals, vol. 20(3), pages 247-318. [Downloadable!] (restricted)
    Other versions:
  20. Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 153-62, April.
    Other versions:
  21. Daniel Hernandez–Hernandez & Alexander Schied, 2005. "Robust Utility Maximization in a Stochastic Factor Model," SFB 649 Discussion Papers SFB649DP2006-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Aug 2006. [Downloadable!]
  22. Lorenzo Giorgiani & Peter F. Christoffersen, 1999. "Interest Rate Arbitrage in Currency Baskets--Forecasting Weights and Measuring Risk," IMF Working Papers 99/16, International Monetary Fund.
    Other versions:
  23. D'Adda, Carlo & Scorcu, Antonello E., 2003. "On the time stability of the output-capital ratio," Economic Modelling, Elsevier, vol. 20(6), pages 1175-1189, December. [Downloadable!] (restricted)
    Other versions:
  24. Wolfgang Härdle & Sigbert Klinke & Uwe Ziegenhagen, 2006. "e-Learning Statistics - A Selective Review," SFB 649 Discussion Papers SFB649DP2006-024, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  25. Neville Francis & Valerie A. Ramey, 2004. "The Source of Historical Economic Fluctuations: An Analysis using Long-Run Restrictions," NBER Working Papers 10631, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  26. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249. [Downloadable!]
    Other versions:
  27. Michel A. Robe & Eva-Maria Steiger & Pierre-Armand Michel, 2006. "Penalties and Optimality in Financial Contracts: Taking Stock," SFB 649 Discussion Papers SFB649DP2006-013, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  28. Taleb Ahmad & Wolfgang Härdle & Julius Mungo, 2006. "On the Difficulty to Design Arabic E-learning System in Statistics," SFB 649 Discussion Papers SFB649DP2006-062, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  29. Enzo Giacomini & Michael Handel & Wolfgang K. Härdle, 2006. "Time Dependent Relative Risk Aversion," SFB 649 Discussion Papers SFB649DP2006-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  30. Saikkonen, Pentti & L tkepohl, Helmut, 1999. "Local Power Of Likelihood Ratio Tests For The Cointegrating Rank Of A Var Process," Econometric Theory, Cambridge University Press, vol. 15(01), pages 50-78, February. [Downloadable!]
  31. Carsten Trenkler, 2008. "Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms," Computational Statistics, Springer, vol. 23(1), pages 19-39, January. [Downloadable!] (restricted)
  32. Bernd Görzig & Martin Gornig & Axel Werwatz, 2004. "East Germany's Wage Gap : A Non-Parametric Decomposition Based on Establishment Characteristics," Discussion Papers of DIW Berlin 451, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    Other versions:
  33. Andreas Thams, 2006. "Fiscal Policy Effects in the European Union," SFB 649 Discussion Papers SFB649DP2006-016, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  34. Doornik, Jurgen A, 1998. " Approximations to the Asymptotic Distributions of Cointegration Tests," Journal of Economic Surveys, Blackwell Publishing, vol. 12(5), pages 573-93, December. [Downloadable!] (restricted)
  35. Lydia Mechtenberg & Roland Strausz, . "The Bologna Process: How student mobility affects multi-cultural skills and educational quality," Papers 030, Departmental Working Papers. [Downloadable!]
    Other versions:
  36. Harald Uhlig, 2004. "Discussion of "The Source of Historical Economic Fluctuations: An Analysis using Long-Run Restrictions" by Neville Francis and Valerie A. Ramey," SFB 649 Discussion Papers SFB649DP2006-042, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised May 2006. [Downloadable!]
  37. Daniel Hernandez–Hernandez & Alexander Schied, 2006. "A Control Approach to Robust Utility Maximization with Logarithmic Utility and Time-Consistent Penalties," SFB 649 Discussion Papers SFB649DP2006-061, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  38. Dominique Demougin & Oliver Fabel, 2006. "The Division of Ownership in New Ventures," SFB 649 Discussion Papers SFB649DP2006-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    Other versions:
  39. Ralf Brüggemann & Wolfgang Härdle & Julius Mungo & Carsten Trenkler, 2006. "VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings," SFB 649 Discussion Papers SFB649DP2006-011, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  40. Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler, 2004. "Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time," Econometrica, Econometric Society, vol. 72(2), pages 647-662, 03. [Downloadable!] (restricted)
    Other versions:
  41. Bernd Görzig & Martin Gornig & Axel Werwatz, 2006. "Firm Specific Wage Spread in Germany - Decomposition of regional differences in inter firm wage dispersion," SFB 649 Discussion Papers SFB649DP2006-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  42. Enzo Weber, 2006. "British Interest Rate Convergence Between The Us And Europe: A Recursive Cointegration Analysis," The Icfai Journal of Monetary Economics, Icfai Press, vol. 0(4), pages 29-47, November.
    Other versions:
  43. Dominique Demougin & Anja Schöttner, 2006. "Technological Choice under Organizational Diseconomies of Scale," SFB 649 Discussion Papers SFB649DP2006-028, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  44. Saikkonen, Pentti & Lutkepohl, Helmut, 2000. "Testing for the Cointegrating Rank of a VAR Process with Structural Shifts," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(4), pages 451-64, October.
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Christian Stoltenberg, 2006. "Real Balance Effects, Timing and Equilibrium Determination," SFB 649 Discussion Papers SFB649DP2006-073, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  2. Jenny Kragl & Julia Schmid, 2006. "Relational Contracts and Inequity Aversion," SFB 649 Discussion Papers SFB649DP2006-085, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  3. Dirk Temme & Henning Kreis & Lutz Hildebrandt, 2006. "PLS Path Modeling – A Software Review," SFB 649 Discussion Papers SFB649DP2006-084, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  4. Tim Grebe & Julia Schmid & Andreas Stiehler, 2006. "Do Individuals Recognize Cascade Behavior of Others? - An Experimental Study -," SFB 649 Discussion Papers SFB649DP2006-079, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    Other versions:
  5. Dirk Temme & Lutz Hildebrandt, 2006. "Formative Measurement Models in Covariance Structure Analysis: Specification and Identification," SFB 649 Discussion Papers SFB649DP2006-083, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  6. Matthias Paustian & Christian Stoltenberg, 2006. "Optimal Interest Rate Stabilization in a Basic Sticky-Price Model," SFB 649 Discussion Papers SFB649DP2006-072, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  7. Enzo Giacomini & Wolfgang Härdle & Ekaterina Ignatieva & Vladimir Spokoiny, 2006. "Inhomogeneous Dependency Modelling with Time Varying Copulae," SFB 649 Discussion Papers SFB649DP2006-075, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  8. Zdenek Hlavka & Michal Pesta, 2006. "Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing," SFB 649 Discussion Papers SFB649DP2006-069, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  9. Szymon Borak & Wolfgang Härdle & Stefan Trück & Rafal Weron, 2006. "Convenience Yields for CO2 Emission Allowance Futures Contracts," SFB 649 Discussion Papers SFB649DP2006-076, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  10. Deniz Dilan Karaman Örsal, 2008. "Comparison of Panel Cointegration Tests," Economics Bulletin, Economics Bulletin, vol. 3(6), pages 1-20. [Downloadable!]
    Other versions:
  11. Ying Chen & Wolfgang Härdle & Vladimir Spokoiny, 2006. "GHICA - Risk Analysis with GH Distributions and Independent Components," SFB 649 Discussion Papers SFB649DP2006-078, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  12. Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl, 2006. "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," SFB 649 Discussion Papers SFB649DP2006-067, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? IDEAS also covers the most complete directory of Economics departments and institutes, EDIRC.

This page was last updated on 2008-7-1.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.