Testing the null of cointegration in the presence of a structural break
Abbreviated Journal Title
cointegration; canonical cointegrating regression; structural break; UNIT-ROOT; HYPOTHESIS; TIME; Economics
We propose a test that examines the null of cointegration while allowing for a structural break in the level and trend. Separate test statistics are developed for the case where the break point is known a priori and where it is not. (C) 2001 Elsevier Science B.V. All rights reserved.
"Testing the null of cointegration in the presence of a structural break" (2001). Faculty Bibliography 2000s. 2919.