Testing for the null hypothesis of cointegration with a structural break

Yoichi Arai*, Eiji Kurozumi

*この研究の対応する著者

研究成果査読

48 被引用数 (Scopus)

抄録

In this paper we propose residual-based tests for the null hypothesis of cointegration with a structural break against the alternative of no cointegration. The Lagrange Multiplier (LM) test is proposed and its limiting distribution is obtained for the case in which the timing of a structural break is known. Then the test statistic is extended to deal with a structural break of unknown timing. The test statistic, a plug-in version of the test statistic for known timing, replaces the true break point by the estimated one. We show the limiting properties of the test statistic under the null as well as the alternative. Critical values are calculated for the tests by simulation methods. Finite-sample simulations show that the empirical size of the test is close to the nominal one unless the regression error is very persistent and that the test rejects the null when no cointegrating relationship with a structural break is present. We provide empirical examples based on the present-value model, the term structure model, and the money-output relationship model.

本文言語English
ページ(範囲)705-739
ページ数35
ジャーナルEconometric Reviews
26
6
DOI
出版ステータスPublished - 2007 11
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学

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