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Testing for panel cointegration with a level break

journal contribution
posted on 2006-04-01, 00:00 authored by Joakim WesterlundJoakim Westerlund
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.

History

Journal

Economics letters

Volume

91

Issue

1

Pagination

27 - 33

Publisher

Elsevier

Location

Amsterdam, The Netherlands

ISSN

0165-1765

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal

Copyright notice

2006, Elsevier

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