CI with break: Lütkepohl, Saikkonnen and Trenkler (2004)
Posted: Sun Oct 18, 2009 8:21 am
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
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