Testing for panel cointegration with a level break

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Abstract

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. (c) 2005 Elsevier B.V. All rights reserved.

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Research areas and keywords

Subject classification (UKÄ) – MANDATORY

  • Economics

Keywords

  • panel cointegration tests, structural break
Original languageEnglish
Pages (from-to)27-33
JournalEconomics Letters
Volume91
Issue number1
Publication statusPublished - 2006
Publication categoryResearch
Peer-reviewedYes