Cointegration testing under structural change: reducing size distortions and improving power of residual based tests

DOI10.1007/S10260-014-0253-ZMaRDI QIDQ520400zbMATHOpenAlexFDO

Authors Marco Morales

Publication date 3 April 2017

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-014-0253-z

zbMATH Keywords

powercointegrationstructural changeGLS detrendingmodified information criteriaresidual based testssize distortions

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20)

Recommendations

• A CUSUM test for cointegration using regression residuals
• Testing for cointegration in the presence of mis-specified structural change
• Residuals-based tests for cointegration with generalized least-squares detrended data
• Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
• Size and power of some cointegration tests under structural breaks and heteroskedastfc noise

Cites work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A modified information criterion for cointegration tests based on a VAR approximation
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Asymptotic Properties of Residual Based Tests for Cointegration
• Automatic Lag Selection in Covariance Matrix Estimation
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• EFFICIENT DETRENDING IN COINTEGRATING REGRESSION
• Efficient Tests for an Autoregressive Unit Root
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Local asymptotic distribution related to the AR(1) model with dependent errors
• On the Theory of Testing for Unit Roots in Observed Time Series
• Residual-based tests for cointegration in models with regime shifts
• Spurious regressions in econometrics
• TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
• TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
• Testing for the cointegrating rank of a VAR process with a time trend
• Trend adjustment prior to testing for the cointegrating rank of a vector autoregressive process
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Unit‐root testing against the alternative hypothesis of up to m structural breaks
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties

Cited in

(11)

• Testing for cointegration in the presence of mis-specified structural change
• Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
• A covariate residual-based cointegration test applied to the CDS-bond basis
• Size and power of some cointegration tests under structural breaks and heteroskedastfc noise
• A CUSUM test for cointegration using regression residuals
• Residuals-based tests for cointegration with generalized least-squares detrended data
• Simulation experiments on the performance of structural change tests in cointegration
• More powerful Engle-Granger cointegration tests
• Co-integration testing using local-to-unity detrending: the impact of structural change under the null
• Test for the null hypothesis of cointegration with reduced size distortion
• Local Fourier tests for structural change based on residuals

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