Monte Carlo tests of cointegration with structural breaks

DOI10.1108/03684920010346347MaRDI QIDQ2776857zbMATH OpenOpenAlexFDO

Authors Rune Höglund, Ralf Östermark

Publication date 9 June 2003

Published in Kybernetes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1108/03684920010346347

zbMATH Keywords

cointegration testspowerregime shiftssize

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Recommendations

• Cointegration tests in the presence of structural breaks
• Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison
• Testing the null of cointegration in the presence of a structural break
• Most stringent test of null of cointegration: a Monte Carlo comparison
• Tests for cointegration with structural breaks based on subsamples
• Testing for the Null Hypothesis of Cointegration with a Structural Break
• New Improved Tests for Cointegration with Structural Breaks

Cites work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Residual-based tests for cointegration in models with regime shifts
• Statistical analysis of cointegration vectors
• Tests for cointegration. A Monte Carlo comparison

Cited in

(10)

• Residual-based tests for cointegration in models with regime shifts
• Cointegration tests in the presence of structural breaks
• The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations
• The effects of ignoring level shifts on systems cointegration tests
• Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test
• Simulation experiments on the performance of structural change tests in cointegration
• Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison
• Simulating competing cointegration tests in a bivariate system
• On the usability of the fluctuation test statistic to identify multiple cointegration break points
• Dickey-Fuller cointegration tests in the presence of regime shifts at known time

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