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Testing for Multivariate Cointegration in the Presence of Structural Breaks: p-Values and Critical Values

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Abstract

Testing 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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File URL: http://www.uvic.ca/socialsciences/economics/assets/docs/econometrics/ewp1110.pdf
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Bibliographic Info

Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 1110.

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Length: 8 pages
Date of creation: 04 Jul 2011
Date of revision:
Handle: RePEc:vic:vicewp:1110

Note: ISSN 1485-6441
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Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
Phone: (250)721-6197
Fax: (250)721-6214
Web page: http://web.uvic.ca/econ
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Keywords: Cointegration; structural breaks; trace test; p-values; critical values;

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References

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  1. 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.
  2. Inoue, Atsushi, 1999. "Tests of cointegrating rank with a trend-break," Journal of Econometrics, Elsevier, vol. 90(2), pages 215-237, June.
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Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. As Good as it Gets!
    by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-03-18 03:48:00
  2. Goodness-of-Fit Testing With Discrete, Circular, Data
    by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-03-15 22:27:00
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Cited by:
  1. 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.

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