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End-of-Sample Conintegratio Breakdown Tests

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Author Info

  • Donald Andrews
  • Jae-Young Kim

Abstract

this paper introduces ests for conintegration breakdown that may occur over a relatively short time period, such as at the end of the sample. The breakdown may be due to a shift in the cointegrating vector or due to a shift in the errors from beging I(0) to being I(1). Tests are introduced based on the post-breakdown sum of squared residuals and the post-breakdown sum of squared reverse partial sums of residuals. Critical values are provided using a parametric subsampling method

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Bibliographic Info

Paper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number 795.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:feam04:795

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Keywords: conintegration; least squares estimator;

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Cited by:
  1. Antonio Montañés & Marcos Sanso-Navarro, . "Another look at long-horizon uncovered interest parity," Studies on the Spanish Economy 221, FEDEA.
  2. Carstensen, Kai & Gern, Klaus-Jürgen & Kamps, Christophe & Scheide, Joachim, 2003. "Euroland: Stagnation wird allmählich überwunden," Munich Reprints in Economics 19932, University of Munich, Department of Economics.
  3. Pierre Siklos, 2006. "What Can We Learn from Comprehensive Data Revisions for Forecasting Inflation: Some US Evidence," Working Papers eg0049, Wilfrid Laurier University, Department of Economics, revised 2006.
  4. Chiquiar, Daniel & Ramos-Francia, Manuel, 2005. "Trade and business-cycle synchronization: evidence from Mexican and U.S. manufacturing industries," The North American Journal of Economics and Finance, Elsevier, vol. 16(2), pages 187-216, August.
  5. Manuel Ramos Francia & Daniel Chiquiar, 2004. "Bilateral Trade and Business Cycle Synchronization: Evidence from Mexico and United States Manufacturing Industries," Working Papers 2004-05, Banco de México.
  6. Paul Blackley, 2009. "The change in aggregate budget behavior in the 1990s: a cointegration-error correction model analysis," Public Choice, Springer, vol. 138(3), pages 475-482, March.
  7. Kai Carstensen, 2003. "Is European Money Demand Still Stable?," Kiel Working Papers 1179, Kiel Institute for the World Economy.

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