In this paper we propose residual-based tests for the null hypothesis of cointegration with a structural break against the alternative of no cointegration. The Lagrange Multiplier (LM) test is proposed and its limiting distribution is obtained for the case in which the timing of a structural...

In this paper we propose residual-based tests for the null hypothesis of cointegration with structural breaks against the alternative of no cointegration. The Lagrange Multiplier test is proposed and its limiting distribution is obtained for the case in which the timing of a structural break is...

This paper examines a point optimal invariant (POI) test for the null hypothesis of cointegration. Our test is different from Jansson's (2005) test in that we consider location invariance in wider directions and that we assume an unknown variance-covariance matrix for the error term, while it is...

This paper investigates an efficient estimation method for a cointegrating regression model with structural change. Our proposal is that we first estimate the break point by minimizing the sum of squared residuals and then, by replacing the break fraction with the estimated one, we estimate the...

This paper considers a single equation cointegrating model and proposes the locally best invariant and unbiased (LBIU) test for the null hypothesis of cointegration. We derive the asymptotic local power functions and compare them with the standard residualbased test, and we show that the LBIU...

This article considers a single-equation cointegrating model and proposes the locally best invariant and unbiased (LBIU) test for the null hypothesis of cointegration. We derive the local asymptotic power functions and compare them with the standard residual-based test, and show that the LBIU...

In this paper we propose residual-based tests for the null hypothesis of cointegration with structural breaks against the alternative of no cointegration. The Lagrange Multiplier test is proposed and its limiting distribution is obtained for the case in which the timing of a structural break is...

This paper investigates an efficient estimation method for a cointegrating regression model with structural change. Our proposal is that we first estimate the break point by minimizing the sum of squared residuals and then, by replacing the break fraction with the estimated one, we estimate the...

In this paper we propose a generalized version of the RESET test for linearity in regressions with I(1) processes against various nonlinear alternatives and no cointegration. The proposed test statistic for linearity is given by the Wald statistic and its limiting distribution under the null...

Are all Japanese youth ready for the structural reforms proposed as a supply-side policy of Abenomics? To answer this question, we assess how well Japanese youth have coped with the labor market's long-term structural changes, induced primarily by deepening interdependence with emerging...