Testing for panel cointegration with a level break

Westerlund, Joakim 2006, Testing for panel cointegration with a level break, Economics letters, vol. 91, no. 1, pp. 27-33, doi: 10.1016/j.econlet.2005.10.010.

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Title Testing for panel cointegration with a level break
Author(s) Westerlund, JoakimORCID iD for Westerlund, Joakim orcid.org/0000-0002-8030-5706
Journal name Economics letters
Volume number 91
Issue number 1
Start page 27
End page 33
Total pages 7
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2006-04
ISSN 0165-1765
Keyword(s) Panel cointegration tests
Structural break
Social Sciences
Business & Economics
Summary This paper proposes four simple tests for the null hypothesis of no cointegration in the presence of a level break. The tests are general enough to allow for endogenous regressors, serial correlation and heterogeneous breaks of unknown timing. The limiting distributions of the tests are derived and critical values are provided. We also conduct a small Monte Carlo study to investigate their finite sample properties. © 2005 Elsevier B.V. All rights reserved.
Language eng
DOI 10.1016/j.econlet.2005.10.010
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2006, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30078228

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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