Examining the robustness of cointegration analysis under weighted symmetric estimation

The research of Leybourne and Newbold (2003) is extended to examine the finite-sample size of the weighted symmetric cointegration test when applied to independent unit root processes subject to structural change. The results obtained show the weighted symmetric cointegration test to be more robust to structural change than previously examined cointegration tests. Combined with its previously noted higher power, the findings of the present analysis suggest the recently proposed weighted symmetric cointegration test to be of use to the practitioner.