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.

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.