New Improved Tests for Cointegration with Structural Breaks

DOI10.1111/j.1467-9892.2006.00504.xzbMath1150.62054MaRDI 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 principle; tests for cointegration

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62F03: Parametric hypothesis testing

62H15: Hypothesis testing in multivariate analysis

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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