EconPapers    
Economics at your fingertips  
 

Testing for Multiple Structural Changes in Cointegrated Regression Models

Mohitosh Kejriwal and Pierre Perron

No wp2008-020, Boston University - Department of Economics - Working Papers Series from Boston University - Department of Economics

Abstract: This paper considers issues related to testing for multiple structural changes in cointegrated systems. We derive the limiting distribution of the Sup-Wald test under mild conditions on the errors and regressors for a variety of testing problems. We show that even if the coefficients of the integrated regressors are held fixed but the intercept is allowed to change, the limit distributions are not the same as would prevail in a stationary framework. Including stationary regressors whose coefficients are not allowed to change does not affect the limiting distribution of the tests under the null hypothesis. We also propose a procedure that allows one to test the null hypothesis of, say, k changes, versus the alternative hypothesis of k + 1 changes. This sequential procedure is useful in that it permits consistent estimation of the number of breaks present. We show via simulations that our tests maintain the correct size in finite samples and are much more powerful than the commonly used LM tests, which suffer from important problems of non-monotonic power in the presence of serial correlation in the errors.

Keywords: Change-point; Sequential procedure; Wald tests; Unit Roots; Cointegration (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 41
Date: 2007-08, Revised 2008-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (68)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Testing for Multiple Structural Changes in Cointegrated Regression Models (2010) Downloads
Working Paper: Testing for Multiple Structural Changes in Cointegrated Regression Models (2008) Downloads
Working Paper: Testing for Multiple Structural Changes in Cointegrated Regression Models (2006)
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:bos:wpaper:wp2008-020

Access Statistics for this paper

More papers in Boston University - Department of Economics - Working Papers Series from Boston University - Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Program Coordinator ().

 
Page updated 2025-03-30
Handle: RePEc:bos:wpaper:wp2008-020