BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
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含水平突变的 VAR 断点日期估计及其协整检验应用
- 研究问题
- 在含水平突变的向量自回归中，断点日期估计误差如何影响协整秩检验，尤其当突变幅度随样本量增加或减小时？
- 方法与思路
- 作者研究两种断点日期估计量在不同突变幅度设定下的渐近性质，并分析既有似然比型协整秩检验及其修改版本。
- 材料陈述的贡献
- 摘要称，在所设突变幅度条件下，两类协整秩检验的渐近零分布不受水平突变影响，并以模拟考察小样本表现。
- 阅读关注点
- 应核对突变幅度随样本量变化的速率、两种日期估计方法、日期误差进入检验的方式，以及零分布不变的条件。
- 阅读边界
- 仅据 RePEc 所载出版社摘要；幅度条件与模拟数值未说明，文中提及的扩展讨论稿未提供，不能据此推断其内容或变化。
原文摘要
In testing for the cointegrating rank of a vector autoregressive process it is important to take into account level shifts that have occurred in the sample period. Therefore the properties of estimators of the time period where a shift has taken place are investigated. The possible structural break is modeled as a simple shift in the level of the process. Two alternative estimators for the break date are considered, and their asymptotic properties are derived under various assumptions regarding the size of the shift. In particular, properties of the shift date estimators are obtained under the assumption of an increasing or decreasing size of the shift when the sample size grows. These results are used to explore the implications for testing the cointegrating rank of the process. A previously proposed likelihood ratio type test for the cointegrating rank and a modified version are considered, and their asymptotic properties are derived. It is shown that their asymptotic null distributions are unaffected by the level shift under the assumptions made for the shift size. The performance of the shift date estimators and the cointegrating rank tests in small samples is investigated by simulations.We thank two referees for helpful comments, and we are grateful to the Deutsche Forschungsgemeinschaft, SFB 373, and the European Commission under the Training and Mobility of Researchers Programme (contract ERBFMRXCT980213) for financial support. The first author also acknowledges financial support by the Yrjö Jahnsson Foundation, the Academy of Finland, and the Alexander von Humboldt Foundation under a Humboldt research award. Part of this research was done while he was visiting the Humboldt University in Berlin, and part of the research was carried out while he and the third author were visiting the European University Institute, Florence. An extended version of this paper is available as an EUI discussion paper under the title “Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift,” ECO 2004/21.