Title
Testing The Null Of Cointegration In The Presence Of A Structural Break
Keywords
C12; C15; C22; Canonical cointegrating regression; Cointegration; Structural break
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. © Elsevier Science B.V.
Publication Date
12-1-2001
Publication Title
Economics Letters
Volume
73
Issue
3
Number of Pages
315-323
Document Type
Article
Personal Identifier
scopus
DOI Link
https://doi.org/10.1016/S0165-1765(01)00499-2
Copyright Status
Unknown
Socpus ID
0035619143 (Scopus)
Source API URL
https://api.elsevier.com/content/abstract/scopus_id/0035619143
STARS Citation
Alan Bartley, William; Lee, Junsoo; and Strazicich, Mark C., "Testing The Null Of Cointegration In The Presence Of A Structural Break" (2001). Scopus Export 2000s. 100.
https://stars.library.ucf.edu/scopus2000/100