Template-type: ReDIF-Paper 1.0
Author-Name: Takamitsu Kurita
Author-Workplace-Name: Faculty of Economics, Fukuoka University
Author-Email: tkurita@fukuoka-u.ac.jp
Author-Name: B. Nielsen
Author-Workplace-Name: Nuffield College, University of Oxford
Author-Email: bent.nielsen@nuffield.ox.ac.uk
Title: Partial cointegrated vector autoregressive models with structural breaks in deterministic terms
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.
Classification-JEL: C12, C32, C50
Keywords: Partial cointegrated vector autoregressive models, Structural breaks, Deterministic terms, Weak exogeneity, Cointegrating rank, Response surface.
Length: 38 pages
Creation-Date: 2018-10-22
Number: 2018-W03
File-URL: https://www.nuffield.ox.ac.uk/economics/Papers/2018/2018W03_CointPartialBreak22oct2018.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:1803