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

    Authors

    W. A. Bartley; J. S. Lee;M. C. Strazicich

    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

    WOS:000172386500008

    ISSN

    0165-1765

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