Spurious rejections by cointegration tests induced by structural breaks
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.
Document Type: Research Article
Affiliations: School of Economics, University of Nottingham, University Park, Nottingham NG7 2RD, UK
Publication date: June 1, 2003