IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift

Listed author(s):
  • Pentti SAIKKONEN
  • Carsten TRENKLER

In testing for the cointegrating rank of a vector autoregressive (VAR) process it is important to take into account level shifts that have occurred in the sample period. Therefore the properties of estimators of the time period where a shift has taken place are investigated. The possible structural break is modelled as a simple shift in the level of the process. Three alternative estimators for the break date are considered and their asymptotic properties are derived under various assumptions regarding the size of the shift. In particular, properties of the shift date estimator are obtained under the assumption of an increasing or decreasing size of the shift when the sample size grows. Moreover, the implications for testing the cointegrating rank of the process are explored. A new rank test is proposed and its asymptotic properties are derived. It is shown that its asymptotic null distribution is una®ected by the level shift. The performance of the shift date estimators and the cointegration rank tests in small samples is investigated by simulations.

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.

File URL:
File Function: main text
Download Restriction: no

Paper provided by European University Institute in its series Economics Working Papers with number ECO2004/21.

in new window

Date of creation: 2004
Handle: RePEc:eui:euiwps:eco2004/21
Contact details of provider: Postal:
Badia Fiesolana, Via dei Roccettini, 9, 50014 San Domenico di Fiesole (FI) Italy

Phone: +39-055-4685.982
Fax: +39-055-4685.902
Web page:

More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:eui:euiwps:eco2004/21. 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: (Julia Valerio)

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.