Monte Carlo tests of cointegration with structural breaks

DOI10.1108/03684920010346347zbMATH Open1011.62094OpenAlexW2054268019MaRDI QIDQ2776857FDOQ2776857

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

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zbMATH Keywords

powersizeregime shiftscointegration tests

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (10)

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

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