Cointegration testing under structural breaks: A robust extended error correction model

Oxford Bulletin of Economics and Statistics

Volumn 62, Issue 1, 2000, Pages 23-52

  Arranz, Miguel A ^a   Escribano, Alvaro ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0038998558     PISSN: 03059049     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0084.00158     Document Type: Article

References (43)

1. Andrés, J., Escribano, A., Molinas, C. and Taguas, D. (1990). La inversión en España: Econometría con restricciones de equilibrio, A. Bosch.
2. Andrews, D. (1993). 'Tests of parameter instability and structural change with unknown break point', Econometrica Vol. 61, pp. 821-56.
3. Andrews, D., Lee, W. and Ploberger, W. (1996). 'Optimal change points tests for normal linear regression', Journal of Econometrics Vol. 70, pp. 9-38.
4. Arranz, M. and Escribano, A. (1998a). Cointegration testing under transitory breaks: Robust ECM testing procedures, Working Paper 98-82, Universidad Carlos III de Madrid.
5. Arranz, M. and Escribano, A. (1998b). Detrending procedures and cointegration testing: ECM tests under structural breaks, Working Paper 98-15, Universidad Carlos III de Madrid.
6. Arranz, M. and Escribano, A. (1998c). Is unit root testing on trend components robust against additive outliers?, Working Paper 98-79, Universidad Carlos III de Madrid.
7. Bai, J. (1997). 'Estimating multiple breaks one at a time', Econometrics Theory Vol. 13, pp. 315-52.
8. Bai, J. and Perron, P. (1998). 'Estimating and testing linear models with multiple structural changes', Econometrica Vol. 66, pp. 47-78.
9. Banerjee, A., Dolado, J., Hendry, D. F. and Smith, G. (1986). 'Exploring equilibrium relationships in econometrics through static models: Some Monte Carlo evidence', BULLETIN Vol. 48, pp. 853-77.
10. Banerjee, A., Dolado, J. and Mestre, F. (1998). 'ECM test for cointegration in a single equation framework', Journal of Time Series Analysis Vol. 19, pp. 267-83.
11. Banerjee, A., Dolado, J., Galbraith, J. W. and Hendry, D. F. (1993). Cointegration, error-correction, and the econometric analysis of non-stationary data, Oxford University Press.
12. Banerjee, A., Lumsdaine, R. and Stock, J. (1992). 'Recursive and sequential tests of unit root and trend break hypothesis: Theory and international evidence', Journal of Business and Economic Statistics Vol. 10, pp. 271-87.
13. Banerjee, A., Lazarova, S. and Urga, G. (1998). Bootstrapping sequential tests for multiple structural breaks. Discussion Paper 17-98, Center for Economic Forecasting, London Business School.
14. Baxter, M. and King, R. (1995). Measuring business cycles: Approximate bandpass filters for economic time series, Working Paper 5022, NBER.
15. Campos, J., Ericsson, N. and Hendry, D. (1996). 'Cointegration tests in the presence of structural breaks', Journal of Econometrics Vol. 70, pp. 187-220.
16. Dickey, D. and Fuller, W. (1979). 'Distribution of the estimators for autoregressive time series with a unit root', Journal of the American Statistical Association Vol. 74, pp. 427-31.
17. Dolado, J. and Lutkepohl, H. (1996). 'Making Wald tests work for cointegrated VAR systems', Econometrica Reviews Vol. 15, pp. 369-86.
18. Engle, R. F. and Granger, C. W. J. (1987) 'Cointegration and error-correction: Representation, estimation, and testing', Econometrica Vol. 55, pp. 251-76.
19. Escribano, A. (1987). Co-integration, time co-trends and error-correction systems: an alternative approach, Discussion Paper 8715, CORE.
20. Franses, P. and Lucas, A. (1997a). Outlier robust cointegration analysis of Dutch interest rates, in 'Proceedings of the 1996 Meeting of the American Statistical Association', ASA, pp. 106-9.
21. Franses, P. and Lucas, A. (1997b). Outlier robust cointegration tests, VU Research Memorandum 97-45, Vrije Universiteit Amsterdam.
22. Franses, P. and Haldrup, N. (1994). 'The effects of additive outliers on unit roots and cointegration', Journal of Business and Economic Statistics Vol. 12, pp. 471-78.
23. Hansen, B. (1995). 'Rethinking the univariate approach to unit root testing: Using covariates to increase power', Econometric Theory Vol. 11, pp. 1148-1172.
24. Hendry, D. (1996). A theory of co-breaking. Paper presented at the Time Series Meeting organized by NBER-NSF.
25. Hendry, D. and Neale, A. (1990). The impact of structural breaks on unit root tests, in P. Hackl and A. Westlung, eds, 'Economic Structural Change: Analysis and Forecasting', Berlin: IIASA and Springer-Verlag, pp. 95-119.
26. Hodrick, R. and Prescott, E. (1980). Post-war U.S. business cycle: An empirical investigation, Technical report, Carnegie-Mellon University.
27. Hodrick, R. and Prescott, E. (1997). 'Post-war U.S. business cycle: An empirical investigation', Journal of Money, Credit and Banking Vol. 29, pp. 1-16.
28. Kremers, J., Ericsson, N. and Dolado, J. (1992). 'The power of cointegration tests', BULLETIN Vol. 54, pp. 349-67.
29. Leybourne, S., Mills, T. and Newbold, P. (1998). 'Spurious rejections by Dickey-Fuller tests in the presence of a break under the null', Journal of Econometrics Vol. 87, pp. 191-203.
30. Lucas, A. (1995a). 'An outlier robust unit root tess with an application to the extended Nelson-Plosser data', Journal of Econometrics Vol. 66, pp. 153-73.
31. Lucas, A. (1995b). 'Unit roots tests based on M estimators', Econometric Theory Vol. 11, pp. 331-46.
32. Lucas, A. (1997). 'Cointegration testing using pseudo likelihood-ratio tests', Econometric Theory Vol. 13, pp. 149-69.
33. Park, J. and Phillips, P. (1988). 'Statistical inference in regressions with integrated processes: Part I', Econometric Theory Vol. 4, pp. 458-97.
34. Park, J. and Phillips, P. (1989). 'Statistical inference in regressions with integrated processes: Part II', Econometric Theory Vol. 5, pp. 95-131.
35. Park, J. Y. (1992). 'Canonical cointegrating regression: Econometrica Vol. 60, pp. 119-43.
36. Perron, P. (1989). 'The great crash, the oil price shock and the unit root hypothesis', Econometrica Vol. 57, pp. 1361-1401.
37. Perron, P. and Vogelsang, T. (1992). 'Nonstationarity and level shifts with an application to purchasing power parity', Journal of Business and Economic Statistics Vol. 10, pp. 301-20.
38. Phillips, P. C. B. (1987). 'Towards a unified asymptotic theory for autoregression', Biometrika Vol. 74, pp. 535-47.
39. Phillips, P. C. B. and Hansen, B. (1990). 'Statistical inference in instrumental variables regression with I(1) processes', Review of Economic Studies Vol. 57, pp. 99-125.
40. Rappoport, P. and Reichlin, L. (1989). 'Segmented trends and nonstationary time series', Economic Journal Vol. 99, pp. 168-77.
41. Toda, H. and Yamamoto, T. (1995). 'Statistical inference in vector autoregression with possibly integrated processes', Journal of Econometrics Vol. 66, pp. 225-50.
42. Vogelsang, T. (1997). 'Wald-type tests for detecting breaks in the trend of a dynamic time series', Econometric Theory Vol. 13, pp. 818-49.
43. Zivot, E. and Andrews, D. (1992). 'Further evidence on the great crash, the oil price shock and the unit root hypothesis', Journal of Business and Econometric Statistics Vol. 10, pp. 251-87.