Kejriwal, Mohitosh; Perron, Pierre - Krannert School of Management, Purdue University - 2008
Classification:C22
∗
Perron acknowledges financial support for this work from the National Science Foundation under Grant
SES-0649350 …
change at an unknown date and the errors can be either stationary, I(0),orhaveaunit
root, I(1), where here, and throughout …. Finally, Qu (2007) proposes a procedure
to detect whether cointegration is present when the cointegrating vector changes at …