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- W3122991330 abstract "This paper proposes Lagrange multiplier based tests for the null hypothesis of no cointegration. The tests are general enough to allow for heteroskedastic and serially correlated errors, deterministic trends, and a structural break of unknown timing in both the intercept and slope. The limiting distributions of the test statistics are derived, and are found to be invariant not only with respect to trend and structural break, but also with respect to the regressors. A small Monte Carlo study is also con- ducted to investigate the small-sample properties of the tests. The results reveal that the tests have small size distortions and good power relative to other tests." @default.
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- W3122991330 date "2006-01-14" @default.
- W3122991330 modified "2023-09-27" @default.
- W3122991330 title "New Improved Tests for Cointegration with Structural Breaks" @default.
- W3122991330 hasPublicationYear "2006" @default.
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