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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…

向量自回归模型中脉冲响应函数与预测误差方差分解的渐近分布AI 解读

In recent years, vector autoregressive models have become standard tools for economic analyses. Impulse response functions and forecast error variance decompositions are usually computed from these models in order to investigate the interrelationships within the system. However, sometimes no measures of estimation uncertainty are provided by authors. One reason may be that the relevant asymptotic distribution theory is distributed over various publications. In this article,…