Testing the Null of Cointegration with Structural Breaks
We propose a Lagrange Multiplier‐type statistic to test the null hypothesis of cointegration allowing for the possibility of a structural break, in both the deterministic and the cointegration vectors. Our proposal focuses on the presence of endogenous regressors. The test complements the usual non‐...
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| Veröffentlicht in: | Oxford bulletin of economics and statistics 2006-10, Vol.68 (5), p.623-646 |
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| container_title | Oxford bulletin of economics and statistics |
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| creator | Sanso, Andreu Carrion--Silvestre, Josep Lluís |
| description | We propose a Lagrange Multiplier‐type statistic to test the null hypothesis of cointegration allowing for the possibility of a structural break, in both the deterministic and the cointegration vectors. Our proposal focuses on the presence of endogenous regressors. The test complements the usual non‐cointegration tests so as to obtain stronger evidence of cointegration. We consider the cases of known and unknown dates of the break. In the latter case, we show that minimizing the Sum of Squared Residuals results in a super‐consistent estimator of the break fraction. Finally, the behaviour of the tests is studied through Monte Carlo experiments. |
| doi_str_mv | 10.1111/j.1468-0084.2006.00180.x |
| format | Article |
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| issn | 0305-9049 1468-0084 |
| language | eng |
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| source | Wiley Online Library - AutoHoldings Journals; RePEc; EBSCOhost Business Source Complete |
| subjects | C12 C22 Cointegration analysis Estimation Lagrange multiplier Monte Carlo simulation Statistical methods Studies Test methods Time series Vector-autoregressive models |
| title | Testing the Null of Cointegration with Structural Breaks |
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