THE EFFECT OF STRUCTURAL BREAKS ON THE ENGLE-GRANGER TEST FOR COINTEGRATION
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| Format: | Artículo científico |
| Langue: | en |
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El Colegio de México, A.C.
2012
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| _version_ | 1876431227002552320 |
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| author | Antonio E. Noriega |
| author_facet | Antonio E. Noriega |
| contents | THE EFFECT OF STRUCTURAL BREAKS ON THE ENGLE-GRANGER TEST FOR COINTEGRATION Antonio E. Noriega Daniel Ventosa-Santaulària Economía y Finanzas Engle Granger test Cointegration structural breaks integrated processes This paper extends Gonzalo and Lee¿s (1998) results by studying the asymptotic and finite sample behavior of the Engle-Granger test for cointegration, under misspecification of the trend function in the form of neglected structural breaks. We allow breaks in level and slope of trend in both dependent and explanatory variables. We also allow these processes to interact with I(1) processes without breaks. In some cases, breaks bias the EG test towards both rejecting a true cointegration relation, and not rejecting a non-existent one. Using real data, we present an empirical illustration of the theoretical results. 2012 artículo científico 0188-6916 https://www.redalyc.org/articulo.oa?id=59724371003 en http://www.redalyc.org/revista.oa?id=597 Estudios Económicos application/pdf El Colegio de México, A.C. Estudios Económicos (México) Num.1 Vol.27 |
| format | Artículo científico |
| id | redalyc_59724371003 |
| institution | Redalyc |
| language | en |
| publishDate | 2012 |
| publisher | El Colegio de México, A.C. |
| spellingShingle | THE EFFECT OF STRUCTURAL BREAKS ON THE ENGLE-GRANGER TEST FOR COINTEGRATION Antonio E. Noriega Economía y Finanzas Engle Granger test Cointegration structural breaks integrated processes THE EFFECT OF STRUCTURAL BREAKS ON THE ENGLE-GRANGER TEST FOR COINTEGRATION Antonio E. Noriega Daniel Ventosa-Santaulària Economía y Finanzas Engle Granger test Cointegration structural breaks integrated processes This paper extends Gonzalo and Lee¿s (1998) results by studying the asymptotic and finite sample behavior of the Engle-Granger test for cointegration, under misspecification of the trend function in the form of neglected structural breaks. We allow breaks in level and slope of trend in both dependent and explanatory variables. We also allow these processes to interact with I(1) processes without breaks. In some cases, breaks bias the EG test towards both rejecting a true cointegration relation, and not rejecting a non-existent one. Using real data, we present an empirical illustration of the theoretical results. 2012 artículo científico 0188-6916 https://www.redalyc.org/articulo.oa?id=59724371003 en http://www.redalyc.org/revista.oa?id=597 Estudios Económicos application/pdf El Colegio de México, A.C. Estudios Económicos (México) Num.1 Vol.27 |
| title | THE EFFECT OF STRUCTURAL BREAKS ON THE ENGLE-GRANGER TEST FOR COINTEGRATION |
| topic | Economía y Finanzas Engle Granger test Cointegration structural breaks integrated processes |
| url | https://www.redalyc.org/articulo.oa?id=59724371003 |