Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms

Takamitsu Kurita and Bent Nielsen
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Takamitsu Kurita: Faculty of Economics, Fukuoka University, 8-19-1, Nanakuma, Jonan-ku, Fukuoka 814-0180, Japan
Bent Nielsen: Department of Economics and Program for Economic Modelling, University of Oxford & Nuffield College, Oxford OX1 1NF, UK

Econometrics, 2019, vol. 7, issue 4, 1-35

Abstract: This paper proposes a class of partial cointegrated models allowing for structural breaks in the deterministic terms. Moving-average representations of the models are given. It is then shown that, under the assumption of martingale difference innovations, the limit distributions of partial quasi-likelihood ratio tests for cointegrating rank have a close connection to those for standard full models. This connection facilitates a response surface analysis that is required to extract critical information about moments from large-scale simulation studies. An empirical illustration of the proposed methodology is also provided.

Keywords: partial cointegrated vector autoregressive models; structural breaks; deterministic terms; weak exogeneity; cointegrating rank; response surface (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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