New Improved Tests for Cointegration with Structural BreaksJoakim Westerlund and David Edgerton No 2006:3, Working Papers from Lund University, Department of Economics Abstract: This paper proposes Lagrange multiplier based tests for the null hypothesis of no cointegration. The tests are general enough to allow for heteroskedastic and serially correlated errors, deterministic trends, and a structural break of unknown timing in both the intercept and slope. The limiting distributions of the test statistics are derived, and are found to be invariant not only with respect to trend and structural break, but also with respect to the regressors. A small Monte Carlo study is also con- ducted to investigate the small-sample properties of the tests. The results reveal that the tests have small size distortions and good power relative to other tests. Keywords: Cointegration Test; Lagrange Multiplier Principle; Structural Break; Deterministic Trend. (search for similar items in EconPapers) Published in Journal of Time Series Analysis, 2007, pages 188-224. There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:hhs:lunewp:2006_003 Access Statistics for this paper More papers in Working Papers from Lund University, Department of Economics School of Economics and Management, Box 7080, S-22007 Lund, Sweden. Contact information at EDIRC. |
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