How the Removal of Deposit Rate Ceilings Has Changed Monetary Transmission in the US: Theory and Evidence
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.
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1997,58, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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- Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000.
"Cointegration analysis in the presence of structural breaks in the deterministic trend,"
Royal Economic Society, vol. 3(2), pages 216-249.
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"Measuring trend output: how useful are the Great Ratios?,"
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03/555, Department of Economics, University of Bristol, UK.
- Attfield, Clifford & Temple, Jonathan, 2004. "Measuring Trend Output: How Useful Are the Great Ratios?," CEPR Discussion Papers 4796, C.E.P.R. Discussion Papers.
- D'Adda, Carlo & Scorcu, Antonello E., 2003.
"On the time stability of the output-capital ratio,"
Elsevier, vol. 20(6), pages 1175-1189, December.
- Saikkonen, Pentti & L tkepohl, Helmut & Trenkler, Carsten, 2006. "Break Date Estimation For Var Processes With Level Shift With An Application To Cointegration Testing," Econometric Theory, Cambridge University Press, vol. 22(01), pages 15-68, February.
- Jurgen A. Doornik, 1998.
"Approximations To The Asymptotic Distributions Of Cointegration Tests,"
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Wiley Blackwell, vol. 12(5), pages 573-593, December.
- Doornik, Jurgen A, 1998. " Approximations to the Asymptotic Distributions of Cointegration Tests," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 573-93, December.
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"Stochastic Trends and Economic Fluctuations,"
NBER Working Papers
2229, National Bureau of Economic Research, Inc.
- Trenkler, Carsten, 2004.
"Determining p-values for Systems Cointegration Tests With a Prior Adjustment for Deterministic Terms,"
2004,37, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
- 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.
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