If you are experiencing problems downloading PDF or HTML fulltext, our helpdesk recommend clearing your browser cache and trying again. If you need help in clearing your cache, please click here . Still need help? Email help@ingentaconnect.com

Spurious rejections by cointegration tests induced by structural breaks

$54.78 plus tax (Refund Policy)

Buy Article:

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

DOI: http://dx.doi.org/10.1080/0203684032000082068

Affiliations: School of Economics, University of Nottingham, University Park, Nottingham NG7 2RD, UK

Publication date: June 1, 2003

More about this publication?
Related content

Share Content

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
X
Cookie Policy
ingentaconnect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more