Testing for Structural Change in Cointegrated Regression Models: Some Comparisons and Generalizations

Kang Hao

No 267905, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This paper compares and generalizes some testing procedures for structural change in the context of cointegrated regression models. The Lagrange Multiplier (LM) tests proposod by Hansen (1992) are generalized to testing for partial structural change. An exponential average LM test is also suggested following the idea of Andrews and Ploberger (1992). In particular, an optimal test for cointegration is developed. We also propose a new cointegration test which is robust to a possible one-time discrete jump in the intercept. We tabulate the asymptotic critical values for the above tests and conduct a small Monte Carlo simulation to investigate their finite sample performance.

Keywords: Research and Development/Tech Change/Emerging Technologies; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 30
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:267905

DOI: 10.22004/ag.econ.267905

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