Testing for the cointegration rank when some cointegrating directions are changing

Andrade, Philippe, Bruneau, Catherine and Gregoir, Stéphane (2005) Testing for the cointegration rank when some cointegrating directions are changing. Journal of Econometrics, Vol. 124 (N° 2). pp. 269-310.

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Official URL: http://tse-fr.eu/pub/30096

Abstract

We develop some tests for characterizing the cointegration space of a cointegrated vector autoregressive model when its long-run parameters are modified by a structural break at a known date. We first consider the case in which the break does not affect the loading factors and second the more general one in which all long-run parameters change. For each configuration, we design procedures to test for the cointegration rank as for the number of directions which are changing between the two regimes. For the simplest case, the cointegration rank test is also extended to the case of an unknown date of shift.

Item Type: Article
Language: English
Date: February 2005
Refereed: Yes
Uncontrolled Keywords: Multivariate time series, Cointegration, Structural break, Rank tests
JEL codes: C32 - Time-Series Models
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 22 Jan 2016 15:03
Last Modified: 07 Mar 2018 13:23
OAI ID: oai:tse-fr.eu:30096
URI: http://publications.ut-capitole.fr/id/eprint/19394

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