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Partial cointegrated vector autoregressive models with structural breaks in deterministic terms

Author

Listed:
  • Takamitsu Kurita

    () (Faculty of Economics, Fukuoka University)

  • B. Nielsen

    () (Nuffield College, University of Oxford)

Abstract

This paper proposes a class of partial cointegrated models allowing for structural breaks in their deterministic terms. Details of the proposed models and their moving-average representations are examined. It is then shown that, under the assumption of martingale di§erence innovations, the limit distributions of partial quasi-likelihood ratio tests for cointegrating rank have a close connection to those for standard full models. This connection facilitates a response surface analysis which is required to extract critical information about moments from large-scale simulation studies. An empirical illustration of the proposed methodology is also provided. This paper renders partial cointegrated models more áexible and reliable devices for the study of non-stationary time series data with structural breaks.

Suggested Citation

  • Takamitsu Kurita & B. Nielsen, 2018. "Partial cointegrated vector autoregressive models with structural breaks in deterministic terms," Economics Papers 2018-W03, Economics Group, Nuffield College, University of Oxford.
  • Handle: RePEc:nuf:econwp:1803
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    File URL: https://www.nuffield.ox.ac.uk/economics/Papers/2018/2018W03_CointPartialBreak22oct2018.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Partial cointegrated vector autoregressive models; Structural breaks; Deterministic terms; Weak exogeneity; Cointegrating rank; Response surface.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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