The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break

DOI10.1016/J.ECONLET.2014.09.009zbMATH Open1311.62153OpenAlexW2062719886MaRDI QIDQ2345147FDOQ2345147

Authors: David Neto 

Publication date: 19 May 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2014.09.009

Recommendations

• Testing the null of cointegration in the presence of a structural break
• A CUSUM test for cointegration using regression residuals
• Cointegration tests in the presence of structural breaks
• Testing for the Null Hypothesis of Cointegration with a Structural Break
• A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
• Testing for cointegration with threshold adjustment in the presence of structural breaks
• Combining \(p\)-values to test for multiple structural breaks in cointegrated regressions

zbMATH Keywords

structural breaktime-varying cointegrationChebyshev time polynomialsFMLS-based CUSUM test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
• A CUSUM test for cointegration using regression residuals
• Testing for structural breaks in cointegrated relationships
• Time-varying cointegration

Cited In (1)

• A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model

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