Testing for Multivariate Cointegration in the Presence of Structural Breaks: p-Values and Critical Values

David Giles and Ryan T. Godwin ()

No 1110, Econometrics Working Papers from Department of Economics, University of Victoria

Abstract: Testing for multivariate cointegration when the data exhibit structural breaks is a problem that is encountered frequently in empirical economic analysis. The standard tests must be modified in this situation, and the asymptotic distributions of the test statistics change accordingly. We supply code that allows practitioners to easily calculate both p-values and critical values for the trace tests of Johansen et al. (2000). Access is also provided to tables of critical values for a broad selection of situations.

Keywords: Cointegration; structural breaks; trace test; p-values; critical values (search for similar items in EconPapers)
JEL-codes: C12 C32 C87 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2011-07-04
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: ISSN 1485-6441
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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