This paper considers tests for structural change of the cointegrating
vector and the adjustment vector in the error correction model with an
unknown change point. This paper derives new tests for structural cha
nge, which are applicable to maximum likelihood estimation. Our tests
for structural change of the cointegrating vector have the same nonsta
ndard asymptotic distributions that have been found by Hansen (1992a,
Journal of Business and Economic Statistics 10, 321-335), In contrast,
the tests on the adjustment vector have the same asymptotic distribut
ions that have been found by Andrews and Ploberger (1993, Econometrica
62, 1383-1414) for models with stationary variables. Asymptotic criti
cal values are provided.