Journal article
Cointegration Tests in the Presence of Structural Breaks.
- Abstract:
- Structural breaks in stationary time series can induce apparent unit roots in those series. Thus, using recently developed recursive Monte Carlo techniques, this paper investigates the properties of several cointegration tests when the marginal process of one of the variables in the cointegrating relationship is stationary with a structural break. The break has little effect on the tests' size. However, tests based on estimated error correction models generally are more powerful than Engle and Granger's two-step procedure employing the Dickey-Fuller unit root test. Discrepancies in power arise when the data generation process does not have a common factor.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Access Document
- Files:
-
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(Preview, Accepted manuscript, pdf, 207.8KB, Terms of use)
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- Publisher copy:
- 10.1016/0304-4076(94)01689-5
Authors
+ Economic and Social Research Council
More from this funder
- Funding agency for:
- Hendry, D
- Grant:
- B00220012
- Publisher:
- Elsevier
- Journal:
- Journal of Econometrics More from this journal
- Volume:
- 70
- Issue:
- 1
- Pages:
- 187 - 220
- Publication date:
- 1996-01-01
- DOI:
- ISSN:
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0304-4076
- Language:
-
English
- UUID:
-
uuid:a109c21e-9e60-4438-8aa6-37fbf92e3d3b
- Local pid:
-
oai:economics.ouls.ox.ac.uk:10905
- Deposit date:
-
2011-08-16
- ARK identifier:
Terms of use
- Copyright holder:
- Elsevier Science SA
- Copyright date:
- 1996
- Notes:
- Copyright 1996 Elsevier Science S.A. All rights reserved. NOTICE: this is the author's version of a work that was accepted for publication in Journal of Econometrics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Econometrics, 70, 1, (January 1996) DOI#10.1016/0304-4076(94)01689-5
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