The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break

David Neto

Economics Letters, 2014, vol. 125, issue 2, 208-211

Abstract: In this paper we extend the FMLS-based CUSUM cointegration test (Xiao and Phillips, 2002) for testing the smooth time-varying cointegration null hypothesis. For this purpose we use Chebyshev time polynomials to specify time-varying coefficients under the null. We derive the limiting distribution of the statistic, which is pivotal with the order of the Chebyshev time polynomials, and we provide the critical values to conduct the proposed test.

Keywords: Time-varying cointegration; Chebyshev time polynomials; Structural break; FMLS-based CUSUM test (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:125:y:2014:i:2:p:208-211

DOI: 10.1016/j.econlet.2014.09.009

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