The effects of innovational outliers and additive outliers in cointegrated vector autoregressive models are examined and it is analyzed how outliers can be modelled with dummy variables. A Monte Carlo simulation illustrates that additive outliers are more distortionary than innovational...

This paper suggests a set of simple diagnostic tools for assessing the influence of a patch of κ observations in a cointegrated vector autoregressive model. The diagnostics are based on the leave-κ-out principle ( Bruce and Martin, 1989Journal of the Royal Statistical Society, Series B, 51,...

In this paper, we consider asymptotic inference in the multivariate BEKK model based on (co)variance targeting (VT). By definition the VT estimator is a two‐step estimator and the theory presented is based on expansions of the modified likelihood function, or estimating function, corresponding...

Cointegration is studied for a non-linear autoregressive process characterized by discontinuous and regime-dependent equilibrium or error correction. Here the disequilibrium, as measured by the norm of linear "stable" or cointegrating relations, determines the regime and hence the equilibrium...

The issue of including stationary explanatory variables is addressed in the vector autoregressive (VAR) model, when testing for cointegration rank. It is shown that simply in-cluding stationary explanatory variables as extra regressors will lead to nuisance parameters in the asymptotic...