Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms
Takamitsu Kurita () and
Bent Nielsen ()
Additional contact information
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
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:gam:jecnmx:v:7:y:2019:i:4:p:42-:d:273844
Access Statistics for this article
Econometrics is currently edited by Prof. Dr. Kerry Patterson
More articles in Econometrics from MDPI, Open Access Journal
Bibliographic data for series maintained by XML Conversion Team ().