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Details for article 10 of 15 found articles
| Title: |
Residual-based tests for cointegration in models with multi-breaks |
| Author: |
Masuda, Junya |
| Appeared in: |
Applied economics letters |
| Paging: | Volume 15 (2008) nr. 13 pages 1001-1006 |
| Year: |
2008-10 |
| Contents: |
In this article, we propose residual-based tests for cointegration in models with multi-breaks. Cointegration can be tested regardless of whether there exist structural breaks. For a one-point break, we usually use the test proposed by Gregory and Hansen (1996). However, this test has not been considered in the case of multistructural breaks. Therefore, we extend this test by considering multi-point breaks. We derive the asymptotic distribution and critical values of the test statistics. Since the critical values of the test statistics are not exact values, we derive these using the Monte Carlo simulation. |
| Publisher: |
Routledge |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 10 of 15 found articles
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