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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.

Suggested Citation

  • David E. Giles & Ryan T. Godwin, 2011. "Testing for Multivariate Cointegration in the Presence of Structural Breaks: p-Values and Critical Values," Econometrics Working Papers 1110, Department of Economics, University of Victoria.
  • Handle: RePEc:vic:vicewp:1110
    Note: ISSN 1485-6441
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    File URL: http://www.uvic.ca/socialsciences/economics/assets/docs/econometrics/ewp1110.pdf
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    References listed on IDEAS

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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 08:48:00
    2. Goodness-of-Fit Testing With Discrete, Circular, Data
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-03-16 03:27:00

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    Cited by:

    1. Stern, David I. & Enflo, Kerstin, 2013. "Causality between energy and output in the long-run," Energy Economics, Elsevier, vol. 39(C), pages 135-146.
    2. repec:eco:journ1:2017-04-47 is not listed on IDEAS

    More about this item

    Keywords

    Cointegration; structural breaks; trace test; p-values; critical values;

    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; State Space Models
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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