Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables
Quasi-maximum-likelihood (QML) estimation of a model combining cointegration in the conditional mean and rare large shocks (outliers) with a factor structure in the innovations is studied. The goal is not only to robustify inference on the conditional-mean parameters, but also to find regularities and conduct inference on the instantaneous and long-run effect of the large shocks. Given the cointegration rank and the factor order, [chi]2 asymptotic inference is obtained for the cointegration vectors, the short-run parameters, and the direction of each column of both the factor loading matrix and the matrix of long-run impacts of the large shocks. Large shocks, whose location is assumed unknown a priori, can be detected and classified consistently into the factor components.
If you experience problems downloading a file, check if you have the proper application to view it first. 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
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.:
- Gourieroux,Christian & Monfort,Alain, 1995.
"Statistics and Econometric Models,"
Cambridge University Press, number 9780521477444, November.
- Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521471626, November.
- Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521405515, November.
- Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521477451, November.
- Stephen J. Leybourne And Paul Newbold, 2000. "Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 1-15.
- Georgiev, Iliyan, 2008. "Asymptotics For Cointegrated Processes With Infrequent Stochastic Level Shifts And Outliers," Econometric Theory, Cambridge University Press, vol. 24(03), pages 587-615, June.
- Hong-Tu Zhu & Heping Zhang, 2004. "Hypothesis testing in mixture regression models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(1), pages 3-16.
- Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
- Cavaliere, Giuseppe & Georgiev, Iliyan, 2009. "Robust Inference In Autoregressions With Multiple Outliers," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1625-1661, December.
- Kiefer, Nicholas M, 1978. "Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model," Econometrica, Econometric Society, vol. 46(2), pages 427-34, March.
- Lucas, André, 1997. "Cointegration Testing Using Pseudolikelihood Ratio Tests," Econometric Theory, Cambridge University Press, vol. 13(02), pages 149-169, April.
- Cavaliere, Giuseppe & Georgiev, Iliyan, 2007.
"Testing For Unit Roots In Autoregressions With Multiple Level Shifts,"
Cambridge University Press, vol. 23(06), pages 1162-1215, December.
- Giuseppe Cavaliere & Iliyan Georgiev, 2006. "Testing for unit roots in autoregressions with multiple level shifts," Quaderni di Dipartimento 2, Department of Statistics, University of Bologna.
- Iliyan Georgiev, 2007. "A mixture-distribution factor model for multivariate outliers," Econometrics Journal, Royal Economic Society, vol. 10(3), pages 605-636, November.
- Leybourne, Stephen J. & Newbold, Paul, 2000. "BEHAVIOR OF DICKEY FULLER t-TESTS WHEN THERE IS A BREAK UNDER THE ALTERNATIVE HYPOTHESIS," Econometric Theory, Cambridge University Press, vol. 16(05), pages 779-789, October.
- Franses, Philip Hans & Lucas, Andre, 1998. "Outlier Detection in Cointegration Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 459-68, October.
- Andre Lucas, 1998. "Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods," Econometric Reviews, Taylor & Francis Journals, vol. 17(2), pages 185-214.
When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:158:y:2010:i:1:p:37-50. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.