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Searching for cointegration in a dynamic system

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  • Zhongjun Qu

Abstract

, which can be zero, stable cointegrating vectors against the alternative hypothesis of more than r 0 cointegrating vectors existing in some subsample. The tests proposed follow Breitung (2002). They are non-parametric in nature and are invariant to linear transformations of the series. A distinctive feature is that they allow us to detect the hidden cointegration when the system is affected by an unknown number of regime changes of unknown timing. We analyse the limiting distributions and provide tables of critical values. Various extensions are then discussed which incorporate a priori information to improve the power. A simple correction is also proposed to yield improved finite sample performance. Finally simulations are conducted to evaluate the size and power in finite samples. Copyright Royal Economic Society 2007

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Bibliographic Info

Article provided by Royal Economic Society in its journal Econometrics Journal.

Volume (Year): 10 (2007)
Issue (Month): 3 (November)
Pages: 580-604

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Handle: RePEc:ect:emjrnl:v:10:y:2007:i:3:p:580-604

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Cited by:
  1. Mohitosh Kejriwal & Pierre Perron, 2006. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series WP2006-051, Boston University - Department of Economics.
  2. Peri, Massimo & Baldi, Lucia, 2013. "The effect of biofuel policies on feedstock market: Empirical evidence for rapeseed oil prices in EU," Resource and Energy Economics, Elsevier, vol. 35(1), pages 18-37.
  3. Clark, Steven P. & Coggin, T. Daniel, 2011. "Was there a U.S. house price bubble? An econometric analysis using national and regional panel data," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 189-200, May.
  4. repec:hal:wpaper:halshs-00564897 is not listed on IDEAS
  5. Wang, Yiming, 2011. "The stability of long-run money demand in the United States: A new approach," Economics Letters, Elsevier, vol. 111(1), pages 60-63, April.
  6. Davidson, James & Monticini, Andrea, 2010. "Tests for cointegration with structural breaks based on subsamples," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2498-2511, November.
  7. Matteo Mogliani, 2010. "Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study," PSE Working Papers halshs-00564897, HAL.

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