We consider VAR models for variables exhibiting cointegration and comon cyclical features. While the presence of cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short-run dynamics. We distinguish between strong and...

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short-run dynamics. We distinguish between strong and...

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short-run dynamics. We distinguish between strong and...

This paper considers cointegration tests for dynamic systems where the number of variables is large relative to the sample size. Typical examples include tests for unit roots in panels, where the units are linked by complicated dynamic relationships. It is well known that conventional...

This paper contributes to the econometric literature on structural breaks by proposing a test for parameter stability in VAR models at a particular frequency amp;#969;, where amp;#969; amp;#8712; [0, amp;#960;]. When a dynamic model is affected by a structural break, the new tests allow for detecting which...