Comparison of tests for the cointegrating rank of a VAR process with a structural shift

By Helmut Lütkepohl, Pentti Saikkonen, Carsten Trenkler. 2003

59 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c68caf28fa53ee8f25a6481010feb0de0974a993

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In Economics and Econometrics

1. H. Bierens
2. Luís F. Martins
3. Theodore Panagiotidis
4. Georgios Bampinas

In Finance

1. H. Bierens
2. Luís F. Martins
3. Georgios Bampinas
4. Theodore Panagiotidis

Citations in the corpus

• TIME-VARYING COINTEGRATION (2010, background): “Moreover, Lütkepohl, Saikkonen, and Trenkler (2003), Inoue (1999), and Johansen, Mosconi, and Nielson (2000) analyze the effects of breaks in the deterministic trend.”
• Testing for the Null Hypothesis of Cointegration with a Structural Break (2007, unknown): “Inoue (1999) and Lütkepohl et al. (2004) have developed the cointegrating rank test allowing structural breaks of unknown timing in the trend and the level respectively.”