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

被引：1
|
作者：
Neto, David [1 ,2 ]
机构：
[1] Univ Geneva, CH-1211 Geneva 4, Switzerland
[2] Univ Geneva, Dept Econ, CH-1211 Geneva 4, Switzerland
来源：
ECONOMICS LETTERS | 2014年 / 125卷 / 02期
关键词：
Time-varying cointegration; Chebyshev time polynomials; Structural break; FMLS-based CUSUM test; DEMAND;
D O I：
10.1016/j.econlet.2014.09.009
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2014 Elsevier B.V. All rights reserved.
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页码：208 / 211
页数：4
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