Testing for cointegration in the presence of mis-specified structural change

DOI10.1016/j.spl.2006.02.008zbMath1094.62112OpenAlexW2094394357MaRDI QIDQ2497796

Steven Cook

Publication date: 4 August 2006

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2006.02.008

zbMATH Keywords

cointegrationstructural changespurious rejection

Mathematics Subject Classification ID

Related Items (1)

The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations

Cites Work

• Understanding spurious regressions in econometrics
• Testing for a unit root in the presence of a variance shift
• Spurious regressions in econometrics
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• Size and power properties of powerful unit root tests in the presence of variance breaks
• Unit root tests with a break in innovation variance.
• Residual-based tests for cointegration in models with regime shifts
• Testing for structural breaks in cointegrated relationships
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• Co-Integration and Error Correction: Representation, Estimation, and Testing

This page was built for publication: Testing for cointegration in the presence of mis-specified structural change