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New improved tests for cointegration with structural breaks

Westerlund, Joakim LU and Edgerton, David LU (2007) In Journal of Time Series Analysis 28(2). p.188-224
Abstract
This article proposes Lagrange multiplier-based tests for the null hypothesis of no cointegration. The tests are general enough to allow for heteroskedastic and serially correlated errors, deterministic trends, and a structural break of unknown timing in both the intercept and slope. The limiting distributions of the test statistics are derived, and are found to be invariant not only with respect to the trend and structural break, but also with respect to the regressors. A small Monte Carlo study is also conducted to investigate the small-sample properties of the tests. The results reveal that the tests have small size distortions and good power relative to other tests.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
structural break, cointegration test, Lagrange multiplier principle, deterministic trend
in
Journal of Time Series Analysis
volume
28
issue
2
pages
188 - 224
publisher
Wiley-Blackwell
external identifiers
  • wos:000244278000002
  • scopus:33847233965
ISSN
0143-9782
DOI
10.1111/j.1467-9892.2006.00504.x
language
English
LU publication?
yes
id
84bbb44e-9730-44d3-9d70-a299ca433bc3 (old id 674139)
date added to LUP
2007-12-21 09:43:45
date last changed
2017-10-22 03:48:55
@article{84bbb44e-9730-44d3-9d70-a299ca433bc3,
  abstract     = {This article proposes Lagrange multiplier-based tests for the null hypothesis of no cointegration. The tests are general enough to allow for heteroskedastic and serially correlated errors, deterministic trends, and a structural break of unknown timing in both the intercept and slope. The limiting distributions of the test statistics are derived, and are found to be invariant not only with respect to the trend and structural break, but also with respect to the regressors. A small Monte Carlo study is also conducted to investigate the small-sample properties of the tests. The results reveal that the tests have small size distortions and good power relative to other tests.},
  author       = {Westerlund, Joakim and Edgerton, David},
  issn         = {0143-9782},
  keyword      = {structural break,cointegration test,Lagrange multiplier principle,deterministic trend},
  language     = {eng},
  number       = {2},
  pages        = {188--224},
  publisher    = {Wiley-Blackwell},
  series       = {Journal of Time Series Analysis},
  title        = {New improved tests for cointegration with structural breaks},
  url          = {http://dx.doi.org/10.1111/j.1467-9892.2006.00504.x},
  volume       = {28},
  year         = {2007},
}