Testing for the Cointegrating Rank of a VAR Process With Structural Shifts
提出一种检验向量自回归过程协整秩的方法，允许数据生成过程的均值存在已知外生突变，先估计并去除确定性项再检验，所得检验的极限零分布不含冗余参数且不依赖突变点，并应用于两个德国货币需求系统。
Tests for the cointegrating rank of a vector autoregressive process are considered that allow for possible exogenous shifts in the mean of the data-generation process. The break points are assumed to be known a priori. It is proposed to estimate and remove the deterministic terms such as mean, linear-trend term, and a shift in a first step. Then systems cointegration tests are applied to the adjusted series. The resulting tests are shown to have known limiting null distributions that are free of nuisance parameters and do not depend on the break point. The tests are applied for analyzing the number of cointegrating relations in two German money-demand systems.