Size properties of Lagrange Multiplier cointegration tests in the presence of structural breaks
The size properties of the recently advanced Lagrange Multiplier (LM) cointegration tests in the presence of structural breaks in time series are investigated. It is shown that misspecification of the types of breaks is liable to spurious rejection. In contrast, severe undersizing may result when ignoring the presence of any break.
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Volume (Year): 19 (2012)
Issue (Month): 11 (July)
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