Testing the Null of Cointegration with Structural Breaks
نویسندگان
چکیده
منابع مشابه
Simple tests for the null of no cointegration with structural breaks
In this paper, a synthesis of the recently advanced Lagrange multiplier (LM)-based tests for the null of no cointegration which account for different patterns of breaks in the cointegrating relationship is provided. The limiting distributions of the test statistics are not only invariant to an intercept break and a break in the cointegrating vector, but are also invariant to a trend break in a ...
متن کاملCointegration Testing in Dependent Panels with Breaks
In this paper we propose panel cointegration tests allowing for breaks and cross-section dependence based on the Continuos-Path Block bootstrap. Simulation evidence shows that the proposed panel tests have satisfactory size and power properties, hence improving considerably on asymptotic tests applied to individual series. As an empirical illustration we examined investment and saving for a pan...
متن کاملTests for cointegration with structural breaks based on subsamples
This paper considers tests for cointegration with allowance for structural breaks, using the extrema of residual-based tests over subsamples of the data. One motivation for the approach is to formalize the practice of data snooping by practitioners, who may examine subsamples after failing to nd a predicted cointegrating relationship. Valid critical values for such multiple testing situations ...
متن کاملHow to Deal with Structural Breaks in Practical Cointegration Analysis
In this note we consider the treatment of structural breaks in VAR models used to test for unit roots and cointegration. We give practical guidelines for the inclusion and the specification of intervention dummies in those models. JEL Classification Code: C32, C52, E43.
متن کاملSimple Tests for Cointegration in Dependent Panels with Structural Breaks∗
This paper develops two very simple tests for the null hypothesis of no cointegration in panel data. The tests are general enough to allow for heteroskedastic and serially correlated errors, unit specific time trends, cross-sectional dependence and an unknown structural break in both the intercept and slope of the cointegrated regression, which may be located at different dates for different un...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Oxford Bulletin of Economics and Statistics
سال: 2006
ISSN: 0305-9049,1468-0084
DOI: 10.1111/j.1468-0084.2006.00180.x