Bootstraping cointegration tests under structural co-breaks: a robust extended ECM test

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: The aim of the paper is the analysis of ECM bootstrap cointegration tests under structural breaks. Classical ECM tests depend on sorne nuisance parameters, which is an undesirable feature for empirical applications. This problem is overcome by using the bootstrap ECM test, which shows good size and power properties when there are no breaks. In this paper we study the small sample properties of alternative bootstrap ECM tests under different cobreaking situations. ECM test statistics are made robust to partial cobreaking by using extended error correction models or by imposing a common factor restriction.

Keywords: Bootstrap; Structural; breaks; Cointegration; testing; Extended; error; correction; model; Cobreaks (search for similar items in EconPapers)
Date: 1998-07-25
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Journal Article: Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:4552

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