Robust Inference in Multiple Nonstationary Time Series

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.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Economics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2015

Author dc:creator

• Juhl, Ted Peter

Contributors dc:contributor

• Koenker, Roger W.

• Economics, General

Language dc:language

eng

Identifier

(MiAaPQ)AAI9944899

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/85652