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

By Helmut Lütkepohl, Pentti Saikkonen, Carsten Trenkler. 2004

139 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d8afadceda17255b79d7bd18a2fcaffc46fe41eb

How researchers see this paper

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In Economics and Econometrics

1. Y. Arai
2. Eiji Kurozumi
3. Cecilio Tamarit
4. V. Esteve
5. Roberto Dell'Anno
6. O. H. Solomon

In Finance

1. Y. Arai
2. Eiji Kurozumi
3. Roberto Dell'Anno
4. O. H. Solomon

Citations in the corpus

• Testing for the Null Hypothesis of Cointegration with a Structural Break (2007, background): “2 Notes 1Tests for cointegration with structural breaks of “known” timing are proposed by Saikkonen & Lütkepohl (2000), Hansen (2003) and Lütkepohl et al. (2003).”