New Improved Tests for Cointegration with Structural Breaks

DOI10.1111/j.1467-9892.2006.00504.xzbMath1150.62054OpenAlexW2013012940MaRDI QIDQ3505315

Joakim Westerlund, David L. Edgerton

Publication date: 18 June 2008

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00504.x

zbMATH Keywords

Lagrange multiplier principletests for cointegration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15)

Related Items (7)

The Balassa-Samuelson hypothesis in the developed and developing countries revisited ⋮ Testing for cointegration with threshold adjustment in the presence of structural breaks ⋮ Multiple structural breaks in cointegrating regressions: a model selection approach ⋮ Response surface estimates of the LM unit root tests ⋮ The effect of recursive detrending on panel unit root tests ⋮ A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending ⋮ Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions

Cites Work

• A modification of the Schmidt-Phillips unit root test
• Residual-based tests for cointegration in models with regime shifts
• Tests for cointegration. A Monte Carlo comparison
• Testing for the Presence of a Random Walk in Series with Structural Breaks
• Asymptotic Properties of Residual Based Tests for Cointegration
• Estimating and Testing Linear Models with Multiple Structural Changes
• Time Series Regression with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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