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

DOI10.1007/S10260-014-0253-ZzbMATH Open1359.62062OpenAlexW2127850903MaRDI QIDQ520400FDOQ520400

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

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

zbMATH Keywords

powercointegrationstructural changeGLS detrendingmodified information criteriaresidual based testssize distortions

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (11)

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

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