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! ]

Cointegrated Vector Autoregressive Processes with Continuous Structural Changes

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Ripatti, Antti () (Bank of Finland Research)
Saikkonen, Pentti

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

Abstract

We extend the conventional cointegrated VAR model to allow for general nonlinear deterministic trends. These nonlinear trends can be used to model gradual structural changes in the intercept term of the cointegrating relations. A general asymptotic theory of estimation and statistical inference is reviewed and a diagnostic test for testing the correct specification of an employed nonlinear trend is developed. The methods are applied to Finnish interest rate data. A smooth level shift of the logistic form between the own-yield of broad money and the short-term money market rate is found appropriate for these data. The level shift is motivated by the deregulation of issuing certificates of deposit and its inclusion in the model solves the puzzle of 'missing cointegration vector' found in a previous study.

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 page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.bof.fi/NR/rdonlyres/4196F4CC-0D7B-482D-9316-CDC0BC873CCB/0/DP_29_1998.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Bank of Finland in its series Research Discussion Papers with number 29/1998.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 29 pages
Date of creation: 16 Dec 1998
Date of revision:
Handle: RePEc:hhs:bofrdp:1998_029

Contact details of provider:
Postal: Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland
Web page: http://www.bof.fi/en/tutkimus
More information through EDIRC

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

Related research
Keywords: cointegrated VAR model; gradual structural change; nonlinear deterministic trend;

Other versions of this item:

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. Mayes, D.G. & Viren, M., 1998. "The Exchange Rate and Monetary Conditions in the Euro Area," Bank of Finland - Studies in Economics and Finance 27/98, Bank of Finland. Research Department..
    Other versions:
  2. Mayes, D.G., 1998. "Evolving Voluntary Rules for the Operation of European Central Bank," Bank of Finland - Studies in Economics and Finance 2/98, Bank of Finland. Research Department..
  3. Mayes, D.G., 1998. "Improving Bankin Supervision," Bank of Finland - Studies in Economics and Finance 23/98, Bank of Finland. Research Department..
    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. Martin Wagner, 2002. "A Comparison of Johansen's, Bierens and the Subspace Algorithm Method for Cointegration Analysis," Diskussionsschriften dp0210, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? All top Economics journals are listed on RePEc.

This page was last updated on 2009-12-22.

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.