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Tests For Structural Change In Cointegrated Systems

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Author Info
Seo, Byeongseon
Abstract

This paper considers tests for structural change of the cointegrating vector and the adjustment vector in the error correction model with an unknown change point. This paper derives new tests for structural change, which are applicable to maximum likelihood estimation. Our tests for structural change of the cointegrating vector have the same nonstandard asymptotic distributions that have been found by Hansen (1992a, Journal of Business and Economic Statistics 10, 321 335). In contrast, the tests on the adjustment vector have the same asymptotic distributions that have been found by Andrews and Ploberger (1994, Econometrica 62, 1383 1414) for models with stationary variables. Asymptotic critical values are provided.

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File URL: http://journals.cambridge.org/abstract_S0266466698142044
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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 14 (1998)
Issue (Month): 02 (April)
Pages: 222-259
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:etheor:v:14:y:1998:i:02:p:222-259_14

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  9. Byeongseon Seo, 2004. "Testing for Nonlinear Adjustment in Smooth Transition Vector Error Correction Models," Econometric Society 2004 Far Eastern Meetings 749, Econometric Society. [Downloadable!]
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