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Title:Robust Inference in Multiple Nonstationary Time Series
Author(s):Juhl, Ted Peter
Doctoral Committee Chair(s):Koenker, Roger W.
Department / Program:Economics
Degree Granting Institution:University of Illinois at Urbana-Champaign
Subject(s):Economics, General
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.
Issue Date:1999
Description:94 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1999.
Other Identifier(s):(MiAaPQ)AAI9944899
Date Available in IDEALS:2015-09-25
Date Deposited:1999

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