Behaviour of cointegration tests in the presence of structural breaks in variance
AbstractIn this paper, we show that spurious cointegration can occur when there are breaks in the variances of the innovation errors of time series, especially when the breaks occur early in the sample period. An empirical example is provided to demonstrate the case.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 10 (2003)
Issue (Month): 15 ()
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Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
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