Detrending procedures and cointegration testing: ECM tests under structural breaks

Miguel A. Arranz
Authors registered in the RePEc Author Service: Alvaro Escribano

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: It is well known that all the test for unit roots and cointegration depend on the deterministic elements that are in mean of the variables; constant, trend, breaks, outliers, segmented trends, etc. This is a serious inconvenient for empirical work. In this paper we analyze if those problems could be solved by forming the cointegration tests on extended models, on the components of the series obtained from trend cycle decompositions. We do that by Monte Carlo Simulations allowing for several structural breaks in the data generating process.

Keywords: Baxter-King; filter; ECM; tests; Structural; breaks; Trend-cycle; decompositions; Hodrick-Prescott; filter; Cointegration; testing (search for similar items in EconPapers)
Date: 1998-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://e-archivo.uc3m.es/rest/api/core/bitstreams ... 6ce3e49d8f40/content (application/pdf)

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:cte:wsrepe:4551

Access Statistics for this paper

More papers in DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística
Bibliographic data for series maintained by Ana Poveda ().