Spurious rejections by cointegration tests induced by structural breaks

C-Tier
Journal: Applied Economics
Year: 2003
Volume: 35
Issue: 9
Pages: 1117-1121

Authors (2)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

The effects on three cointegration tests are examined when the series analysed are independent integrated processes, each with a structural break. Although there are differences in detail among the tests, the results indicate in all cases that, when structural breaks are neglected in the analysis, spurious rejections, indicating the presence of cointegration, can occur.

Technical Details

RePEc Handle
repec:taf:applec:v:35:y:2003:i:9:p:1117-1121
Journal Field
General
Author Count
2
Added to Database
2026-01-25