EconPapers    
Economics at your fingertips  
 

Testing For Structural Breaks

Allan Gregory and James Nason ()

No 827, Working Paper from Economics Department, Queen's University

Abstract: The purpose of this paper is to investigate the tests of Hansen (1991) to detect structural breaks in cointegrated relations using Monte Carlo methods. The evaluation takes place within the linear quadratic model. The evidence for a single regressor suggests that the test have proper size and that the power is good provided the cost of adjustment is low. In addition to the tests of Hansen, we consider the sensitivity of the augmented Dicky-Fuller (ADF) teest for cointegration in the presence of a structural break. Our Monte Carlo experiments show that the ADF test suffers a substantial loss of power (a failure to reject the null of no cointegration). As a practical example we consider the stability of the long-run coefficients in annual U.S. money demand.

Keywords: structural breaks; linear quadratic; cointegration (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 C52 (search for similar items in EconPapers)
Date: 1991-07
References: Add references at CitEc
Citations: View citations in EconPapers (14) Track citations by RSS feed

Downloads: (external link)
https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_827.pdf First version 1991 (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:qed:wpaper:827

Access Statistics for this paper

More papers in Working Paper from Economics Department, Queen's University Contact information at EDIRC.
Bibliographic data for series maintained by Mark Babcock ().

 
Page updated 2019-09-18
Handle: RePEc:qed:wpaper:827