Testing for panel cointegration with a level break

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Testing for panel cointegration with a level break. / Westerlund, Joakim.

In: Economics Letters, Vol. 91, No. 1, 2006, p. 27-33.

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TY - JOUR

T1 - Testing for panel cointegration with a level break

AU - Westerlund, Joakim

PY - 2006

Y1 - 2006

N2 - 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.

AB - 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.

KW - panel cointegration tests

KW - structural break

U2 - 10.1016/j.econlet.2005.10.010

DO - 10.1016/j.econlet.2005.10.010

M3 - Article

VL - 91

SP - 27

EP - 33

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

IS - 1

ER -