Research seminar: Partial cointegrated vector autoregressive models with structural breaks in deterministic terms

Professor Kurita Takamitsu:   http://www3.econ.fukuoka-u.ac.jp/~tkurita/

Degree: D. Phil, Oxford University

Faculty of Economics, Fukuoka University, Japan

"Partial cointegrated vector autoregressive models with structural breaks in deterministic terms"

Abstract:  This paper proposes partial cointegrated models allowing for structural breaks in their deterministic terms. Details of the models and their moving-average representations are examined, and it is then shown that the limit distributions of partial quasi-likelihood ratio tests for cointegrating rank have a close connection to those for standard full models. This connection facilitates a response surface analysis which is required to extract critical information from large-scale simulation studies. An empirical illustration of the proposed methodology is also provided. This paper renders partial cointegrated models more flexible and reliable devices for the study of non-stationary time series data with structural breaks.