, which can be zero, stable cointegrating vectors against the alternative hypothesis of more than r₀ cointegrating vectors existing in some subsample. The tests proposed follow Breitung (2002). They are non-parametric in nature and are invariant to linear transformations of the series. A...

This paper considers various asymptotic approximations to the finite sample distribution of the estimate of the break date in a simple one-break model for a linear trend function that exhibits a change in slope, with or without a concurrent change in intercept. The noise component is either...

to enable proper empirical applications. We provide response surface regressions valid for a wide range of parameters. Copyright Royal Economic Society, 2003

This paper considers various asymptotic approximations in the near-integrated first-order autoregressive model with a non-zero initial condition. We first extend the work of Knight and Satchell (1993), who considered the random walk case with a zero initial con-dition, to derive the expansion of...