Title
Testing the null of cointegration in the presence of a structural break
Abbreviated Journal Title
Econ. Lett.
Keywords
cointegration; canonical cointegrating regression; structural break; UNIT-ROOT; HYPOTHESIS; TIME; Economics
Abstract
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.
Journal Title
Economics Letters
Volume
73
Issue/Number
3
Publication Date
1-1-2001
Document Type
Article
Language
English
First Page
315
Last Page
323
WOS Identifier
ISSN
0165-1765
Recommended Citation
"Testing the null of cointegration in the presence of a structural break" (2001). Faculty Bibliography 2000s. 2919.
https://stars.library.ucf.edu/facultybib2000/2919
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