CI with break: Lütkepohl, Saikkonnen and Trenkler (2004)

Questions and discussions on Vector Autoregressions
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Anna
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Joined: Fri Sep 18, 2009 12:17 pm

CI with break: Lütkepohl, Saikkonnen and Trenkler (2004)

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I wondered whether someone has already set up a procedure to do the FGLS estimation for the deterministic parts and the resulting CI test as specified in Lütkepohl, Saikkonnen and Trenkler (2004) TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH LEVEL SHIFT AT UNKNOWN TIME?

The FGLS procedure is described in Lütkepohl and Saikkonnen (2000): Testing for the cointegrating rank of a VAR process with a time trend.

If so, would anybody be willing to share his / her code with me? :)

Best wishes
Anna
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