Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
In this paper we consider the problem of testing for the co-integration rank of a vector autoregressive process in the case where a trend break may potentially be present in the data. It is known that un-modelled trend breaks can result in tests which are incorrectly sized under the null hypothesis...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2016
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/31793/ |