Testing for Multivariate Cointegration in the Presence of Structural Breaks: p-Values and Critical Values
AbstractTesting for multivariate cointegration when the data exhibit structural breaks is a problem that is encountered frequently in empirical economic analysis. The standard tests must be modified in this situation, and the asymptotic distributions of the test statistics change accordingly. We supply code that allows practitioners to easily calculate both p-values and critical values for the trace tests of Johansen et al. (2000). Access is also provided to tables of critical values for a broad selection of situations.
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Bibliographic InfoPaper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 1110.
Length: 8 pages
Date of creation: 04 Jul 2011
Date of revision:
Note: ISSN 1485-6441
Contact details of provider:
Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
Web page: http://web.uvic.ca/econ
More information through EDIRC
Cointegration; structural breaks; trace test; p-values; critical values;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-13 (All new papers)
- NEP-ECM-2011-07-13 (Econometrics)
- NEP-ETS-2011-07-13 (Econometric Time Series)
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.:
- Inoue, Atsushi, 1999. "Tests of cointegrating rank with a trend-break," Journal of Econometrics, Elsevier, vol. 90(2), pages 215-237, June.
- Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers 2006_10, Business School - Economics, University of Glasgow.
Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- As Good as it Gets!
by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-03-18 03:48:00
- Goodness-of-Fit Testing With Discrete, Circular, Data
by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-03-15 22:27:00
- Stern, David & Enflo, Kerstin, 2013.
"Causality Between Energy and Output in the Long-Run,"
Lund Papers in Economic History
126, Department of Economic History, Lund University.
- Stern, David I. & Enflo, Kerstin, 2013. "Causality between energy and output in the long-run," Energy Economics, Elsevier, vol. 39(C), pages 135-146.
- David I. Stern & Kerstin Enflo, 2013. "Causality Between Energy and Output in the Long-Run," CAMA Working Papers 2013-01, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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