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Spurious rejections by cointegration tests induced by structural breaks Author info | Abstract | Publisher info | Download info | Related research | Statistics Stephen J. Leybourne
Paul Newbold
The effects on three cointegration tests are examined when the series analysed are independent integrated processes, each with a structural break. Although there are differences in detail among the tests, the results indicate in all cases that, when structural breaks are neglected in the analysis, spurious rejections, indicating the presence of cointegration, can occur.
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Article provided by Taylor and Francis Journals in its journal Applied Economics .
Volume (Year): 35 (2003)
Issue (Month): 9 (January)
Pages: 1117-1121
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Leybourne, Stephen J. & C. Mills, Terence & Newbold, Paul, 1998.
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Banerjee, Anindya, et al, 1986.
"Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence ,"
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Other versions: Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1996.
"Cointegration tests in the presence of structural breaks ,"
Journal of Econometrics ,
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Other versions: Johansen, Soren, 1991.
"Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models ,"
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Stephen J. Leybourne And Paul Newbold, 2000.
"Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis ,"
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Johansen, Soren, 1988.
"Statistical analysis of cointegration vectors ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 12(2-3), pages 231-254.
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