Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
提出一种适用于未知时点结构突变的向量自回归过程的系统协整秩检验方法，先估计突变点，再调整序列后进行Johansen型检验，模拟验证了小样本表现。
A systems cointegration rank test is proposed that is applicable for vector autoregressive (VAR) processes with a structural shift at unknown time. The structural shift is modeled as a simple shift in the level of the process. It is proposed to estimate the break date first on the basis of a full unrestricted VAR model. Two alternative estimators are considered and their asymptotic properties are derived. In the next step the deterministic part of the process including the shift size is estimated and the series are adjusted by subtracting the estimated deterministic part. A Johansen type test for the cointegrating rank is applied to the adjusted series. The test statistic is shown to have a well-known asymptotic null distribution that does not depend on the break date. The performance of the procedure in small samples is investigated by simulations. Copyright The Econometric Society 2004.