Partial cointegrated vector autoregressive models with structural breaks in deterministic terms
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-lik...
| Huvudupphovsmän: | , |
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| Materialtyp: | Journal article |
| Språk: | English |
| Publicerad: |
MDPI
2019
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| _version_ | 1826305777302765568 |
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| author | Kurita, T Nielsen, B |
| author_facet | Kurita, T Nielsen, B |
| author_sort | Kurita, T |
| collection | OXFORD |
| description | 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. |
| first_indexed | 2024-03-07T06:37:59Z |
| format | Journal article |
| id | oxford-uuid:f84fcf21-a987-47b4-bc09-a7e02b23374b |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T06:37:59Z |
| publishDate | 2019 |
| publisher | MDPI |
| record_format | dspace |
| spelling | oxford-uuid:f84fcf21-a987-47b4-bc09-a7e02b23374b2022-03-27T12:49:16ZPartial cointegrated vector autoregressive models with structural breaks in deterministic termsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:f84fcf21-a987-47b4-bc09-a7e02b23374bEnglishSymplectic Elements at OxfordMDPI2019Kurita, TNielsen, BThis 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. |
| spellingShingle | Kurita, T Nielsen, B Partial cointegrated vector autoregressive models with structural breaks in deterministic terms |
| title | Partial cointegrated vector autoregressive models with structural breaks in deterministic terms |
| title_full | Partial cointegrated vector autoregressive models with structural breaks in deterministic terms |
| title_fullStr | Partial cointegrated vector autoregressive models with structural breaks in deterministic terms |
| title_full_unstemmed | Partial cointegrated vector autoregressive models with structural breaks in deterministic terms |
| title_short | Partial cointegrated vector autoregressive models with structural breaks in deterministic terms |
| title_sort | partial cointegrated vector autoregressive models with structural breaks in deterministic terms |
| work_keys_str_mv | AT kuritat partialcointegratedvectorautoregressivemodelswithstructuralbreaksindeterministicterms AT nielsenb partialcointegratedvectorautoregressivemodelswithstructuralbreaksindeterministicterms |