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Partial cointegrated vector autoregressive models with structural breaks in deterministic terms

Takamitsu Kurita () and B. Nielsen ()
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Takamitsu Kurita: Faculty of Economics, Fukuoka University
B. Nielsen: Nuffield College, University of Oxford

No 2018-W03, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: This paper proposes a class of partial cointegrated models allowing for structural breaks in their deterministic terms. Details of the proposed models and their moving-average representations are examined. It is then shown that, under the assumption of martingale di§erence 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 which is required to extract critical information about moments from large-scale simulation studies. An empirical illustration of the proposed methodology is also provided. This paper renders partial cointegrated models more áexible and reliable devices for the study of non-stationary time series data with structural breaks.

Keywords: Partial cointegrated vector autoregressive models; Structural breaks; Deterministic terms; Weak exogeneity; Cointegrating rank; Response surface. (search for similar items in EconPapers)
JEL-codes: C12 C32 C50 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2018-10-22
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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