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New improved tests for cointegration with structural breaks

In English

Författare

Summary, in English

This article proposes Lagrange multiplier-based tests for the null hypothesis of no cointegration. The tests are general enough to allow for heteroskedastic and serially correlated errors, deterministic trends, and a structural break of unknown timing in both the intercept and slope. The limiting distributions of the test statistics are derived, and are found to be invariant not only with respect to the trend and structural break, but also with respect to the regressors. A small Monte Carlo study is also conducted to investigate the small-sample properties of the tests. The results reveal that the tests have small size distortions and good power relative to other tests.

Publiceringsår

2007

Språk

Engelska

Sidor

188-224

Publikation/Tidskrift/Serie

Journal of Time Series Analysis

Volym

28

Issue

2

Dokumenttyp

Artikel i tidskrift

Förlag

Wiley-Blackwell

Ämne

  • Economics

Nyckelord

  • structural break
  • cointegration test
  • Lagrange multiplier principle
  • deterministic trend

Status

Published

ISBN/ISSN/Övrigt

  • ISSN: 0143-9782