Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term

Testing for the cointegrating rank of a VAR process with a time trend

Standard tests for the cointegrating rank of a vector autoregressive (VAR) process have nonstandard limiting distributions which depend on the characteristics of intercept terms and time trends in the system. In practice, these characteristics are often unknown. Therefore, modi"ed tests are considered which allow for deterministic linear trends in the data generation process (DGP). The tests ar...

Testing for the cointegrating rank of a VAR process with structural shifts

Testing for the cointegrating rank of a VAR process with structural shifts

Testing for the Cointegrating Rank of a Var Process with Level Shift at Unknown Time By

A systems cointegration rank test is proposed that is applicable for vector autoregressive (VAR) processes with a structural shift at unknown time. The structural shift is modeled as a simple shift in the level of the process. It is proposed to estimate the break date first on the basis of a full unrestricted VAR model. Two alternative estimators are considered and their asymptotic properties a...

A Simple Cointegrating Rank Test without Vector Autoregression

This paper proposes a fully nonparametric test for cointegrating rank which does not require estimation of a vector autoregressive model. The test exploits the fact that the degeneracy in the moment matrix of the variables with mixed integration order corresponds to the notion of cointegration. With an appropriate standardization, the test statistics are shown to have a nuisance parameter free ...