Tests for Cointegration, Cobreaking and Cotrending in a System of Trending Variables
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We consider a set of variables with a deterministic trend and a stochastic trend. The deterministic trend is allowed to have changes in the intercept and slope. We develop three tests, a cointegration test, a joint test for cointegration and cobreaking, and a joint test for cointegration and cotrending. Our analysis in this paper is complementary to Carrion-i-Silvestre and Kim(2017), which deals with deterministic trends with intercept shifts only.
Abstract
We consider a set of variables with a deterministic trend and a stochastic trend. The deterministic trend is allowed to have changes in the intercept and slope. We develop three tests, a cointegration test, a joint test for cointegration and cobreaking, and a joint test for cointegration and cotrending. Our analysis in this paper is complementary to Carrion-i-Silvestre and Kim(2017), which deals with deterministic trends with intercept shifts only.
참고문헌 (20)
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