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 test the Prebish–Singer (PS) hypothesis, which states that real commodity prices decline in the long run, using two recent powerful panel data stationarity tests accounting for cross-sectional dependence and a structural break. We find that the hypothesis cannot be rejected...

This paper considers the issue of selecting the number of regressors and the number of structural breaks in multivariate regression models in the possible presence of multiple structural changes. We develop a modified Akaike's information criterion (AIC), a modified Mallows' Cp criterion and a...