arXiv 30 Jul 2025 · Econometrics · publishedOxford Bulletin of Economics and Statistics (2026)
arXiv:2507.22869 · PDF · DOI · OpenAlex · Extracted main text
We consider the problem of performing inference on the number of common stochastic trends when data is generated by a cointegrated CKSVAR (a two-regime, piecewise-linear SVAR; Mavroeidis, 2021), using a modified version of the Breitung (2002) multivariate variance ratio test that is robust to the presence of nonlinear cointegration (of a known form). To derive the asymptotics of our test statistic, we prove a fundamental LLN-type result for a class of stable but nonstationary autoregressive processes, using a novel dual linear process approximation. We show that our modified test yields correct inferences regarding the number of common trends in such a system, whereas the unmodified test tends to infer a higher number of common trends than are actually present, when cointegrating relations are nonlinear.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Breitung, J (2002) Nonparametric tests for unit roots and cointegration | 1.000 | 57 | 4 | 100% |
| 2 | Duffy, J. A., S. Mavroeidis, and S. Wycherley (2025) Cointegration with occasionally binding constraints self | 0.963 | 169 | 7 | 89% |
| 3 | Mavroeidis, S (2021) Identification at the zero lower bound | 0.874 | 32 | 2 | 100% |
| 4 | Aruoba, S. B., M. Mlikota, F. Schorfheide, and S. Villalvazo (2022) SVARs with occasionally-binding constraints | 0.874 | 16 | 2 | 100% |
| 5 | Duffy, J. A., S. Mavroeidis, and S. Wycherley (2023) Stationarity with Occasionally Binding Constraints, arXiv:2307.06190 self | 0.851 | 26 | 2 | 92% |
| 6 | Duffy, J. A. and S. Mavroeidis (2024) Common trends and long-run identification in nonlinear structural VARs, arXiv:2404.05349 self | 0.693 | 8 | 1 | 100% |
| 7 | Engle, R. F. and C. W. J. Granger (1987) Co-integration and error correction: representation, estimation, and testing | 0.693 | 8 | 1 | 100% |
| 8 | Granger, C. W. J (1986) Developments in the study of cointegrated economic variables | 0.693 | 8 | 1 | 100% |
| 9 | Ikeda, D., S. Li, S. Mavroeidis, and F. Zanetti (2024) Testing the effectiveness of unconventional monetary policy in Japan and the United States | 0.693 | 8 | 1 | 100% |
| 10 | Johansen, S (1991) Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models | 0.693 | 8 | 1 | 100% |
Showing the top 10 of 19 scored citations.