Robust Inference in Multiple Nonstationary Time Series
Juhl, Ted Peter
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https://hdl.handle.net/2142/85652
Description
Title
Robust Inference in Multiple Nonstationary Time Series
Author(s)
Juhl, Ted Peter
Issue Date
1999
Doctoral Committee Chair(s)
Koenker, Roger W.
Department of Study
Economics
Discipline
Economics
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Economics, General
Language
eng
Abstract
In addition, a multivariate generalization of the unit root tests proposed in Zivot and Andrews (1992) is investigated. The null hypothesis entails the existence of a number of cointegrating vectors band no breaks in the constant term of the vector autoregression. Under the alternative, there are additional cointegrating vectors that are potentially obscured by multiple breaks in the deterministic terms. The test is based on the likelihood ratio test of Johansen (1988, 1991) and involves taking the supremum of the likelihood ratio over all possible breakpoint vectors. The asymptotic distribution is free of nuisance parameters and consists of the supremum of two terms. The first term is a modification of the usual trace test and the second term is the square of a tied-down Bessel process.
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