In this paper we examine tests for cointegration which allow for the p
ossibility of regime shifts. We propose ADF-, Z(x)-, and Z(t)-type tes
ts designed to test the null of no cointegration against the alternati
ve of cointegration in the presence of a possible regime shift, In par
ticular we consider cases where the intercept and/or slope coefficient
s have a single break of unknown timing, A formal proof is provided fo
r the limiting distributions of the various tests for the regime shift
model (both a level and slope change), Critical values are calculated
for the tests by simulation methods and a simple Monte Carlo experime
nt is conducted to evaluate finite-sample performance, In the limited
set of experiments, we find that the tests can detect cointegrating re
lations when there is a break in the intercept and/or slope coefficien
t, For these same experiments, the power of the conventional ADF test
with no allowance for regime shifts falls sharply, As an illustration
we test for structural breaks in the U.S. long-run money-demand equati
on using annual and quarterly data.