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
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
Journal title :
Economics Letters
