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Testing for panel cointegration with a level break

Westerlund, Joakim LU (2006) In Economics Letters 91(1). p.27-33
Abstract
This paper proposes four simple tests for the null hypothesis of no cointegration in the presence of a level break. The tests are general enough to allow for endogenous regressors, serial correlation and heterogeneous breaks of unknown timing. The limiting distributions of the tests are derived and critical values are provided. We also conduct a small Monte Carlo study to investigate their finite sample properties. (c) 2005 Elsevier B.V. All rights reserved.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
panel cointegration tests, structural break
in
Economics Letters
volume
91
issue
1
pages
27 - 33
publisher
Elsevier
external identifiers
  • wos:000237185500005
  • scopus:33645732119
ISSN
0165-1765
DOI
10.1016/j.econlet.2005.10.010
language
English
LU publication?
yes
id
930451b1-b4d9-4e30-b09c-5db22e1b8e46 (old id 693289)
date added to LUP
2016-04-01 12:17:02
date last changed
2020-12-15 03:29:31
@article{930451b1-b4d9-4e30-b09c-5db22e1b8e46,
  abstract     = {This paper proposes four simple tests for the null hypothesis of no cointegration in the presence of a level break. The tests are general enough to allow for endogenous regressors, serial correlation and heterogeneous breaks of unknown timing. The limiting distributions of the tests are derived and critical values are provided. We also conduct a small Monte Carlo study to investigate their finite sample properties. (c) 2005 Elsevier B.V. All rights reserved.},
  author       = {Westerlund, Joakim},
  issn         = {0165-1765},
  language     = {eng},
  number       = {1},
  pages        = {27--33},
  publisher    = {Elsevier},
  series       = {Economics Letters},
  title        = {Testing for panel cointegration with a level break},
  url          = {http://dx.doi.org/10.1016/j.econlet.2005.10.010},
  doi          = {10.1016/j.econlet.2005.10.010},
  volume       = {91},
  year         = {2006},
}