Testing the null of cointegration in the presence of a structural break

Authors
Bartley, WA Lee, JS Strazicich, MC
Citation
Wa. Bartley et al., Testing the null of cointegration in the presence of a structural break, ECON LETT, 73(3), 2001, pp. 315-323
Citations number
13
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
73
Issue
3
Year of publication
2001
Pages
315 - 323
Database
ISI
SICI code
0165-1765(200112)73:3<315:TTNOCI>2.0.ZU;2-E
Abstract
We propose a test that examines the null of cointegration while allowing fo r a structural break in the level and trend. Separate test statistics are d eveloped for the case where the break point is known a priori and where it is not. (C) 2001 Elsevier Science B.V. All rights reserved.