Abstract

http://ssrn.com/abstract=905984
 
 

References (25)



 
 

Citations (1)



 


 



Testing the Null of Co-Integration in the Presence of Variance Breaks


Giuseppe Cavaliere


University of Bologna - Department of Statistics

A. M. Robert Taylor


University of Birmingham - Department of Economics


Journal of Time Series Analysis, Vol. 27, No. 4, pp. 613-636, July 2006

Abstract:     
We show that changes in the innovation covariance matrix of a vector of series can generate spurious rejections of the null hypothesis of co-integration when applying standard residual-based co-integration tests. A bootstrap solution to the inference problem is suggested which is shown to perform well in practice, redressing the size problems associated with the standard test but not losing power relative to the standard test under the alternative.

Number of Pages in PDF File: 24

Accepted Paper Series





Date posted: June 2, 2006  

Suggested Citation

Cavaliere, Giuseppe and Taylor, A. M. Robert, Testing the Null of Co-Integration in the Presence of Variance Breaks. Journal of Time Series Analysis, Vol. 27, No. 4, pp. 613-636, July 2006. Available at SSRN: http://ssrn.com/abstract=905984 or http://dx.doi.org/10.1111/j.1467-9892.2006.00475.x

Contact Information

Giuseppe Cavaliere (Contact Author)
University of Bologna - Department of Statistics ( email )
Via Belle Arti 41
40126 Bologna
Italy
+39 0512098230 (Phone)
+39 051232153 (Fax)
A. M. Robert Taylor
University of Birmingham - Department of Economics ( email )
Economics Department
Birmingham, B15 2TT
United Kingdom
Feedback to SSRN


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References:  25
Citations:  1

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