Co-integration testing using local-to-unity detrending: the impact of structural change under the null

DOI10.1080/10629360600569550zbMath1432.62371OpenAlexW1975582779MaRDI QIDQ3446972

Steven Cook

Publication date: 27 June 2007

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10629360600569550

zbMATH Keywords

structural changeco-integrationspurious rejection

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Cites Work

• Understanding spurious regressions in econometrics
• Statistical analysis of cointegration vectors
• Spurious regressions in econometrics
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• Efficient Tests for an Autoregressive Unit Root