Testing for the cointegration rank when some cointegrating directions are changing |
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| Affiliation: | 1. THEMA, University of Cergy-Pontoise, 33 bd du Port, Cergy-Pontoise Cedex 95011, France;2. THEMA, University of Paris X-Nanterre, 200 av. de la République, Nanterre Cedex 92001, France;3. CREST, INSEE, Timbre J301, 15 bd Gabriel Péri, Malakoff 92245, France;1. Laboratoire de recherche en gestion et économie and Institut de Recherche Mathématique Avancée, Université de Strasbourg, PEGE, 61 avenue de la Forët-Noire, F-67085 Strasbourg Cedex, France;2. Université El-Manar, Faculté des Sciences, Campus Universitaire, 2092 El Manar, Tunisia |
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| Abstract: | ![]()
We develop some tests for characterizing the cointegration space of a cointegrated vector autoregressive model when its long-run parameters are modified by a structural break at a known date. We first consider the case in which the break does not affect the loading factors and second the more general one in which all long-run parameters change. For each configuration, we design procedures to test for the cointegration rank as for the number of directions which are changing between the two regimes. For the simplest case, the cointegration rank test is also extended to the case of an unknown date of shift. |
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