Testing for the Cointegrating Rank of a VAR Process With Structural Shifts
By Pentti Saikkonen, Helmut Lütkepohl. 2000
300 citations recorded by the source corpus.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/6f9ba049adb116b516f7140d01f17aafda760caf
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Carsten Trenkler
- Robert L. Czudaj
- J. Beckmann
- Y. Arai
- Helmut Lütkepohl
- Pentti Saikkonen
- Muhammad Shahbaz
- Eiji Kurozumi
Citations in the corpus
- Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time (2004, methodology): “It is the same as the one obtained by S&L in a model with a shift at a known point in time τ. Critical values are given in Table 1 of Lütkepohl and Saikkonen (2000).”
- Gold as an Infl ation Hedge in a Time-Varying Coefficient Framework (2012, methodology): “In their framework, the timing of structural breaks is endogenously determined by applying the unit root testing procedure developed by Zivot and Andrews (1992) and thereafter a modified cointegration approach suggested by Saikkonen and Lütkepohl (2000a, 2000b, 2000c) is adopted.”
- Gold investment as an inflationary hedge: cointegration evidence with allowance for endogenous structural breaks (2007, unknown): “According to Saikkonen and Lütkepohl (2000b) and Lütkepohl and Wolters (2003), an observed n -dimensional time series yt = (y 1t ,…., y nt ), y t is the vector of observed variables (t=1,…, T) which are generated by the following process: where DT 0t and DU 1t are the respective impulse and shift…”
- Testing for the Null Hypothesis of Cointegration with a Structural Break (2007, background): “1 Tests for cointegration with a structural break of “known” timing are proposed by Saikkonen and Lutkepohl ( 2000 ), Hansen ( 2003 ), and Lutkepohl et al.”
- Unit Root Tests and Structural Breaks: A Survey with Applications (2007, unknown): “Methods based on cointegration incorporating breaks have been proposed by Gregory and Hansen (1996) and Saikkonen and Lütkepohl (2000) and potentially these perform better than the univariate approaches.”