The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break

In this paper we extend the FMLS-based CUSUM cointegration test (Xiao and Phillips, 2002) for testing the smooth time-varying cointegration null hypothesis. For this purpose we use Chebyshev time polynomials to specify time-varying coefficients under the null. We derive the limiting distribution of the statistic, which is pivotal with the order of the Chebyshev time polynomials, and we provide the critical values to conduct the proposed test.

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Year of publication:	2014
Authors:	Neto, David
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 125.2014, 2, p. 208-211
Publisher:	Elsevier
Subject:	Time-varying cointegration \| Chebyshev time polynomials \| Structural break \| FMLS-based CUSUM test

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011076529