Testing for the cointegration rank when some cointegrating directions are changing

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 genera...

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Bibliographic details
Volume: 124
Main Author: Andrade, Philippe
Bruneau, Catherine
Gregoir, Stéphane
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: LAUSANNE Elsevier B.V 2005
ELSEVIER SCIENCE SA
Elsevier
Elsevier Science Publishers
published in: Journal of econometrics Vol. 124; no. 2; pp. 269 - 310
Data of publication: 2005
ISSN: 0304-4076
1872-6895
EISSN: 1872-6895
Discipline: Economics
Statistics
Mathematics
Series: Journal of Econometrics
Subjects:
C32
Online Access: available in Bonn?
CODEN: JECMB6
Database: Web of Knowledge
Science Citation Index Expanded
Social Sciences Citation Index
Web of Science
Web of Science - Science Citation Index Expanded - 2005
Web of Science - Social Sciences Citation Index - 2005
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