The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break

DOI10.1016/j.econlet.2014.09.009zbMath1311.62153OpenAlexW2062719886MaRDI QIDQ2345147

David Neto

Publication date: 19 May 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2014.09.009

zbMATH Keywords

structural breaktime-varying cointegrationChebyshev time polynomialsFMLS-based CUSUM test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
• A CUSUM test for cointegration using regression residuals
• Testing for structural breaks in cointegrated relationships
• TIME-VARYING COINTEGRATION

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