Testing for cointegration in the presence of mis-specified structural change

DOI10.1016/J.SPL.2006.02.008MaRDI QIDQ2497796zbMATH OpenOpenAlexFDO

Authors Steven Cook

Publication date 4 August 2006

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2006.02.008

zbMATH Keywords

cointegrationspurious rejectionstructural change

Mathematics Subject Classification ID

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

Recommendations

• Cointegration tests in the presence of structural breaks
• Size and power of some cointegration tests under structural breaks and heteroskedastfc noise
• New Improved Tests for Cointegration with Structural Breaks
• Cointegration testing under structural change: reducing size distortions and improving power of residual based tests
• Testing misspecified cointegrating relationships

Cites work

• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Residual-based tests for cointegration in models with regime shifts
• Size and power properties of powerful unit root tests in the presence of variance breaks
• Spurious regressions in econometrics
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• Testing for a unit root in the presence of a variance shift
• Testing for structural breaks in cointegrated relationships
• Understanding spurious regressions in econometrics
• Unit root tests with a break in innovation variance.
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

Cited in

(7)

• Testing misspecified cointegrating relationships
• The effects of \(I(1)\) series on cointegration inference
• The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations
• Co-integration testing using local-to-unity detrending: the impact of structural change under the null
• DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
• Testing for structural change in cointegrated regression models: some comparisons and generalizations
• Cointegration testing under structural change: reducing size distortions and improving power of residual based tests

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