End-of-Sample Conintegratio Breakdown Tests

Donald W. K. Andrews () and Jae-Young Kim

No 795, Econometric Society 2004 Far Eastern Meetings from Econometric Society

Abstract: this paper introduces ests for conintegration breakdown that may occur over a relatively short time period, such as at the end of the sample. The breakdown may be due to a shift in the cointegrating vector or due to a shift in the errors from beging I(0) to being I(1). Tests are introduced based on the post-breakdown sum of squared residuals and the post-breakdown sum of squared reverse partial sums of residuals. Critical values are provided using a parametric subsampling method

Keywords: conintegration; least squares estimator (search for similar items in EconPapers)
JEL-codes: C12 C52 (search for similar items in EconPapers)
Date: Written

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Related works:
Working Paper: End-of-Sample Cointegration Breakdown Tests (2003)
Working Paper: End-of-Sample Cointegration Breakdown Tests (2004)
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