THE EFFECT OF STRUCTURAL BREAKS ON THE ENGLE-GRANGER TEST FOR COINTEGRATION
This paper extends Gonzalo and Lee¿s (1998) results by studying the asymptotic and finite sample behavior of the Engle-Granger test for cointegration, under misspecification of the trend function in the form of neglected structural breaks. We allow breaks in level and slope of trend in both dependen...
Guardat en:
| Publicat a: | Estudios Económicos |
|---|---|
| Autors principals: | , |
| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
El Colegio de México, A.C.
2012
|
| Matèries: | |
| Accés en línia: | https://www.redalyc.org/articulo.oa?id=59724371003 |
| Etiquetes: |
Sense etiquetes, Sigues el primer a etiquetar aquest registre!
|