Co-integration testing using local-to-unity detrending: the impact of structural change under the null

DOI10.1080/10629360600569550MaRDI QIDQ3446972zbMATHOpenAlexFDO

Authors Steven Cook

Publication date 27 June 2007

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10629360600569550

zbMATH Keywords

structural changeco-integrationspurious rejection

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Cointegration testing under structural change: reducing size distortions and improving power of residual based tests
• New Improved Tests for Cointegration with Structural Breaks
• Testing for cointegration in the presence of mis-specified structural change
• Cointegration tests in the presence of structural breaks
• Residuals-based tests for cointegration with generalized least-squares detrended data

Cites work

• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Efficient Tests for an Autoregressive Unit Root
• Spurious regressions in econometrics
• Statistical analysis of cointegration vectors
• Understanding spurious regressions in econometrics

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