Testing for the Null Hypothesis of Cointegration with a Structural Break

DOI10.1080/07474930701653776zbMath1126.62075OpenAlexW1975551792MaRDI QIDQ5436947

Eiji Kurozumi, Yoichi Arai

Publication date: 18 January 2008

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930701653776

zbMATH Keywords

structural breakintegrated time seriesno cointegration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Related Items (7)

50 years of capital mobility in the eurozone: breaking the Feldstein-Horioka puzzle ⋮ A two‐step procedure for testing partial parameter stability in cointegrated regression models ⋮ Testing for cointegration with threshold adjustment in the presence of structural breaks ⋮ Multiple structural breaks in cointegrating regressions: a model selection approach ⋮ Short- and long-run rolling causality techniques and optimal window-wise lag selection: an application to the export-led growth hypothesis ⋮ Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending ⋮ Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions

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