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‐...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Oxford bulletin of economics and statistics 2006-10, Vol.68 (5), p.623-646
Hauptverfasser:	Sanso, Andreu, Carrion--Silvestre, Josep Lluís
Format:	Artikel
Sprache:	eng
Schlagworte:	C12 C22 Cointegration analysis Estimation Lagrange multiplier Monte Carlo simulation Statistical methods Studies Test methods Time series Vector-autoregressive models
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!