Testing for panel cointegration with a level break
(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:
https://lup.lub.lu.se/record/693289
- author
- Westerlund, Joakim LU
- organization
- publishing date
- 2006
- 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
- 2022-04-05 20:16:58
@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}}, keywords = {{panel cointegration tests; structural break}}, 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}}, }