Spurious rejection by cointegration tests incorporating structural change in the cointegrating relationship

Steven Cook

Applied Economics Letters, 2004, vol. 11, issue 14, 879-884

Abstract: In recent research, Leybourne and Newbold have shown commonly employed tests of cointegration to exhibit spurious rejection when applied to independent unit root processes subject to breaks in either level or trend. In the present paper, this research is extended to consider the finite-sample properties of cointegration tests which explicitly incorporate structural change. It is shown that when applied to independent unit root processes subject to regime shifts, cointegration tests permitting structural change in the cointegrating relationship can spuriously reject the null of no cointegration more frequently than the standard tests considered by Leybourne and Newbold.

Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:11:y:2004:i:14:p:879-884

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/1350485040000267012

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().