Title of article
Testing the null of cointegration in the presence of a structural break
Author/Authors
Bartley، William Alan نويسنده , , Lee، Junsoo نويسنده , , Strazicich، Mark C. نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2001
Pages
-314
From page
315
To page
0
Abstract
We propose a test that examines the null of cointegration while allowing for a structural break in the level and trend. Separate test statistics are developed for the case where the break point is known a priori and where it is not.
Keywords
Granger causality , Spurious causality , Non-stationary time series
Journal title
Economics Letters
Serial Year
2001
Journal title
Economics Letters
Record number
21813
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