EconPapers    
Economics at your fingertips  
 

Cointegrated vector autoregressive processes with continuous structural changes

Antti Ripatti and Pentti Saikkonen

No 29/1998, Bank of Finland Research Discussion Papers from Bank of Finland

Abstract: We extend the conventional cointegrated VAR model to allow for general nonlinear deterministic trends.These nonlinear trends can be used to model gradual structural changes in the intercept term of the cointegrating relations.A general asymptotic theory of estimation and statistical inference is reviewed and a diagnostic test for testing the correct specification of an employed nonlinear trend is developed.The methods are applied to Finnish interest rate data.A smooth level shift of the logistic form between the own-yield of broad money and the short-term money market rate is found appropriate for these data.The level shift is motivated by the deregulation of issuing certificates of deposit and its inclusion in the model solves the puzzle of 'missing cointegration vector' found in a previous study.

Keywords: cointegrated VAR model; gradual structural change; nonlinear deterministic trend (search for similar items in EconPapers)
Date: 1998
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/211829/1/bof-rdp1998-029.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:bofrdp:rdp1998_029

Access Statistics for this paper

More papers in Bank of Finland Research Discussion Papers from Bank of Finland Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().

 
Page updated 2024-05-08
Handle: RePEc:zbw:bofrdp:rdp1998_029