Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending

Josep Carrion-i-Silvestre and Dukpa Kim ()

Econometric Reviews, 2019, vol. 38, issue 8, 881-898

Abstract: We consider a set of variables with two types of nonstationary features, stochastic trends and broken linear trends. We develop tests that can determine whether there is a linear combination of these variables under which the nonstationary features can be canceled out. The first test can determine whether stochastic trends can be eliminated and thus whether cointegration holds, regardless of whether structural breaks in linear trends are eliminated. The second test can determine whether both stochastic trends and breaks in linear trends are simultaneously removed and thus whether cointegration and cobreaking simultaneously hold. The third test can determine whether not only breaks in linear trends but also linear trends themselves are eliminated along with stochastic trends and thus whether both cointegration and cotrending hold.

Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://hdl.handle.net/10.1080/07474938.2018.1528416 (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:emetrv:v:38:y:2019:i:8:p:881-898

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474938.2018.1528416

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().