The Properties of Cointegration Tests in Models with Structural Change
Vasco Gabriel and
Luis Martins
No 1/2000, NIPE Working Papers from NIPE - Universidade do Minho
Abstract:
In this paper we examine, by means of Monte Carlo simulation, the properties of several cointegration tests when long run parameters are subject to structural changes. We allow for different types of stochastic and deterministic regime shifts, more specifically, changes governed by Markov chains, martingale parameter variation, sudden multiple breaks and gradual changes. Our Monte Carlo analysis reveals that tests with cointegration as the null hypothesis perform badly, while tests with the null of no cointegration retain much of their usefulness in this context.
Keywords: Structural change; Cointegration; Tests; Monte Carlo (search for similar items in EconPapers)
JEL-codes: C12 C22 C52 (search for similar items in EconPapers)
Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
http://www3.eeg.uminho.pt/economia/nipe/docs/2000/NIPE_WP_1_2000.PDF (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:nip:nipewp:1/2000
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in NIPE Working Papers from NIPE - Universidade do Minho Núcleo de Investigação em Políticas Económicas e Empresariais, Escola de Economia e Gestão, Universidade do Minho, P-4710-057 Braga, Portugal. Contact information at EDIRC.
Bibliographic data for series maintained by NIPE ().