New Improved Tests For Cointegration With Structural Breaks
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| Author | : Joakim Westerlund |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2007 |
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| ISBN | : |
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 | : Berhan Coban |
| Publisher | : |
| Total Pages | : 76 |
| Release | : 2017-05-06 |
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| ISBN | : 9783659825668 |
| Author | : G. S. Maddala |
| Publisher | : Cambridge University Press |
| Total Pages | : 528 |
| Release | : 1998 |
| Genre | : Business & Economics |
| ISBN | : 9780521587822 |
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
| Author | : Josep Lluís Carrion-i-Silvestre |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2007 |
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| ISBN | : |
We propose a Lagrange Multiplier-type statistic to test the null hypothesis of cointegration allowing for the possibility of a structural break, in both the deterministic and the cointegration vectors. Our proposal focuses on the presence of endogenous regressors. The test complements the usual non-cointegration tests so as to obtain stronger evidence of cointegration. We consider the cases of known and unknown dates of the break. In the latter case, we show that minimizing the Sum of Squared Residuals results in a super-consistent estimator of the break fraction. Finally, the behaviour of the tests is studied through Monte Carlo experiments.
| Author | : |
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| Total Pages | : |
| Release | : 2007 |
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| Author | : Dukpa Kim |
| Publisher | : |
| Total Pages | : 233 |
| Release | : 2007 |
| Genre | : |
| ISBN | : 9781109976205 |
The second chapter theoretically compares the asymptotic relative efficiency of the Exp, Mean and Sup type tests for structural change. We show that the Mean type tests are inferior to the Sup and Exp type tests in terms of approximate relative Bahadur efficiency and that the Mean tests are inferior to the Sup tests in terms of the asymptotic relative Pitman efficiency. We also compare tests corrected for potential serial correlation. In this case, the inferiority of the tests based on the Lagrange Multiplier statistics compared to those based on the Wald statistics is pronounced.
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| Release | : 2005 |
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| Release | : 2005 |
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| Author | : Roselyne Joyeux |
| Publisher | : |
| Total Pages | : 11 |
| Release | : 2001 |
| Genre | : Cointegration |
| ISBN | : 9781864086492 |
| Author | : Karsten Schweikert |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
