Testing for cointegration in the presence of mis-specified structural change

被引：2
|
作者：
Cook, S [1 ]
机构：
[1] Univ Wales Swansea, Dept Econ, Swansea SA2 8PP, W Glam, Wales
来源：
STATISTICS & PROBABILITY LETTERS | 2006年 / 76卷 / 13期
关键词：
cointegration; structural change; spurious rejection;
D O I：
10.1016/j.spl.2006.02.008
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The finite-sample properties of cointegration tests incorporating structural change are derived when applied to independent unit root processes subject to changes in innovation variance. It is shown that decreases in innovation variance can result in severe size distortion, with the extent of spurious rejection dependent upon which series experiences a break and when the break occurs. Mis-specified structural change is therefore shown to result in spurious regression, the very problem cointegration analysis attempts to overcome. (C) 2006 Elsevier B.V. All rights reserved.
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页码：1380 / 1384
页数：5
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