Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms

Autor:	Takamitsu Kurita, Bent Nielsen
Jazyk:	angličtina
Rok vydání:	2019
Předmět:	partial cointegrated vector autoregressive models structural breaks deterministic terms weak exogeneity cointegrating rank response surface Economics as a science HB71-74
Zdroj:	Econometrics, Vol 7, Iss 4, p 42 (2019)
Druh dokumentu:	article
ISSN:	2225-1146
DOI:	10.3390/econometrics7040042
Popis:	This paper proposes a class of partial cointegrated models allowing for structural breaks in the deterministic terms. Moving-average representations of the models are given. It is then shown that, under the assumption of martingale difference innovations, the limit distributions of partial quasi-likelihood ratio tests for cointegrating rank have a close connection to those for standard full models. This connection facilitates a response surface analysis that is required to extract critical information about moments from large-scale simulation studies. An empirical illustration of the proposed methodology is also provided.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/e5279a1420c942c9aee8f193af5a89ed Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF Plný text ve formátu HTML
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