{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/85652"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/85652","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"Robust Inference in Multiple Nonstationary Time Series","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.","abstract_html":"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.","abstract_has_math":false,"creators":["Juhl, Ted Peter"],"institution":"University of Illinois at Urbana-Champaign","degree_name":"Ph.D.","degree_level":"Dissertation","degree_discipline":"Economics","degree_department":null,"school":null,"contributors":["Koenker, Roger W."],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2015,"date_issued":"2015-09-25T22:47:47Z","date_published":"2015-09-25T22:47:47Z","updated_at":"2026-07-22T22:26:25Z","subjects":["Economics, General"],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[{"key":"dc:identifier","label":"Identifier","values":["(MiAaPQ)AAI9944899"],"render_values":[{"text":"(MiAaPQ)AAI9944899","href":null,"code":true}]}]},"links":{"outbound_url":"http://hdl.handle.net/2142/85652","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Koenker, Roger W."]},{"key":"dc:creator","label":"Author","values":["Juhl, Ted Peter"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2015-09-25T22:47:47Z","10000-01-01","1999"]},{"key":"dc:type","label":"Dc Type","values":["text"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Economics"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Dissertation"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Ph.D."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Economics, General"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["http://hdl.handle.net/2142/85652","(MiAaPQ)AAI9944899"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["In addition, a multivariate generalization of the unit root tests proposed in Zivot and Andrews (1992) is investigated. 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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.","Made available in DSpace on 2015-09-25T22:47:47Z (GMT). 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