Break Date Estimation For Var Processes With Level Shift With An Application To Cointegration Testing
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Volume (Year): 22 (2006)
Issue (Month): 01 (February)
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- Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl, 2008.
"Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 29(2), pages 331-358, 03.
- 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.
- 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.
- Karaman Örsal, Deniz Dilan & Arsova, Antonia, 2016. "A panel cointegration rank test with structural breaks and cross-sectional dependence," Annual Conference 2016 (Augsburg): Demographic Change 145822, Verein für Socialpolitik / German Economic Association.
- Swensen, Anders Rygh, 2011. "A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables," Journal of Econometrics, Elsevier, vol. 165(2), pages 152-162.
- Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2013. "Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion," Econometric Reviews, Taylor & Francis Journals, vol. 32(7), pages 814-847, October.
- Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2010. "Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion," Discussion Papers 10/04, University of Nottingham, Granger Centre for Time Series Econometrics.
- Lena Malesevic-Perovic, 2009. "Cointegration Approach to Analysing Inflation in Croatia," Financial Theory and Practice, Institute of Public Finance, vol. 33(2), pages 201-218.
- Maxym Chaban, 2010. "Cointegration analysis with structural breaks and deterministic trends: an application to the Canadian dollar," Applied Economics, Taylor & Francis Journals, vol. 42(23), pages 3023-3037.
- Cortes, Maria, 2007. "Examining Patterns of Bilateral Trade between Australia and Colombia by Using Cointegration Analysis and Error-Correction Models," Economics Working Papers wp07-20, School of Economics, University of Wollongong, NSW, Australia.
- Trenkler, Carsten, 2009. "Bootstrapping Systems Cointegration Tests With A Prior Adjustment For Deterministic Terms," Econometric Theory, Cambridge University Press, vol. 25(01), pages 243-269, February.
- 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.
- Karel Mertens, 2006. "How the Removal of Deposit Rate Ceilings Has Changed Monetary Transmission in the US: Theory and Evidence," Economics Working Papers ECO2006/34, European University Institute.
- Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
- Shahbaz, Muhammad & Tahir, Mohammad Iqbal & Ali, Imran & Rehman, Ijaz Ur, 2014. "Is gold investment a hedge against inflation in Pakistan? A co-integration and causality analysis in the presence of structural breaks," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 190-205.
- Kosei Fukuda, 2011. "Cointegration rank switching model: an application to forecasting interest rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(5), pages 509-522, August.
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