Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - Sonderforschungsbereich 373, Quantifikation und … - 2001
A systems cointegration rank test is proposed which is applicable for vector autoregressive (VAR) processes with a structural shift at unknown time. The structural shift is modeled as a simple shift in the mean of the process. It is proposed to estimate the break date first on the basis of a...