Spurious rejections by cointegration tests induced by structural breaks

The effects on three cointegration tests are examined when the series analysed are independent integrated processes, each with a structural break. Although there are differences in detail among the tests, the results indicate in all cases that, when structural breaks are neglected in the analysis, spurious rejections, indicating the presence of cointegration, can occur.

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Year of publication:	2003
Authors:	Leybourne, Stephen ; Newbold, Paul
Published in:	Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 35.2003, 9, p. 1117-1121
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005282541