Testing the null of cointegration in the presence of a structural break

DOI10.1016/S0165-1765(01)00499-2zbMath0990.62079OpenAlexW2064646164MaRDI QIDQ5958409

Junsoo Lee, Mark C. Strazicich, William Alan Bartley

Publication date: 3 March 2002

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(01)00499-2

zbMATH Keywords

cointegrationcanonical cointegrating regressionstructural break

Mathematics Subject Classification ID

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

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• On stationary tests in the presence of structural breaks
• Residual-based tests for cointegration in models with regime shifts
• Cointegration tests in the presence of structural breaks
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Canonical Cointegrating Regressions
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Nonlinear time series analysis of economic and financial data

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