Testing the null of cointegration in the presence of a structural break

DOI10.1016/S0165-1765(01)00499-2MaRDI QIDQ5958409zbMATH OpenOpenAlexFDO

Authors William Alan Bartley, Junsoo Lee, Mark C. Strazicich

Publication date 3 March 2002

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(01)00499-2

zbMATH Keywords

canonical cointegrating regressioncointegrationstructural break

Mathematics Subject Classification ID

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

Recommendations

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Cites work

• Canonical Cointegrating Regressions
• Cointegration tests in the presence of structural breaks
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Nonlinear time series analysis of economic and financial data
• On stationary tests in the presence of structural breaks
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Residual-based tests for cointegration in models with regime shifts
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Cited in

(14)

• Size and power of some cointegration tests under structural breaks and heteroskedastfc noise
• Cointegration tests in the presence of structural breaks
• Combining p-values to test for multiple structural breaks in cointegrated regressions
• The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break
• Separate cointegration in a VAR system subject to structural breaks
• Point optimal tests of the null hypothesis of cointegration
• Testing for cointegration with threshold adjustment in the presence of structural breaks
• Monte Carlo tests of cointegration with structural breaks
• New Improved Tests for Cointegration with Structural Breaks
• Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle
• TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT
• scientific article; zbMATH DE number 1475337 (Why is no real title available?)
• Testing for the Null Hypothesis of Cointegration with a Structural Break
• Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending

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