Testing The Null Of Cointegration With Structural Breaks
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| Author | : Josep Lluís Carrion-i-Silvestre |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2007 |
| Genre | : |
| 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 | : Joakim Westerlund |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2007 |
| Genre | : |
| 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 | : 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 | : |
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| Total Pages | : |
| Release | : 2005 |
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| Author | : Paramsothy Silvapulle |
| Publisher | : |
| Total Pages | : 30 |
| Release | : 1995 |
| Genre | : Monte Carlo method |
| ISBN | : |
| Author | : Pierre Perron |
| Publisher | : MDPI |
| Total Pages | : 167 |
| Release | : 2018-04-13 |
| Genre | : Business & Economics |
| ISBN | : 3038428116 |
This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
| Author | : Joakim Westerlund |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
This paper develops a very simple test for the null hypothesis of no cointegration in panel data. The test is general enough to allow for heteroskedastic and serially correlated errors, unit-specific time trends, cross-sectional dependence and unknown structural breaks in both the intercept and slope of the cointegrated regression, which may be located at different dates for different units. The limiting distribution of the test is derived, and is found to be normal and free of nuisance parameters under the null. A small simulation study is also conducted to investigate the small-sample properties of the test. In our empirical application, we provide new evidence concerning the purchasing power parity hypothesis.
| Author | : Berhan Coban |
| Publisher | : |
| Total Pages | : 76 |
| Release | : 2017-05-06 |
| Genre | : |
| ISBN | : 9783659825668 |
| Author | : Karsten Schweikert |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
| Author | : |
| Publisher | : |
| Total Pages | : |
| Release | : 2007 |
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| ISBN | : |
