Size properties of Lagrange Multiplier cointegration tests in the presence of structural breaks

被引：2

作者：

Tam, Pui Sun ^{[1
]}

机构：

[1] Univ Macau, Fac Business Adm, Dept Finance & Business Econ, Macao, Peoples R China

来源：

APPLIED ECONOMICS LETTERS | 2012年 / 19卷 / 11期

关键词：

cointegration; structural break; Monte Carlo; spurious rejection; RESIDUAL-BASED TESTS;

D O I：

10.1080/13504851.2011.613746

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The size properties of the recently advanced Lagrange Multiplier (LM) cointegration tests in the presence of structural breaks in time series are investigated. It is shown that misspecification of the types of breaks is liable to spurious rejection. In contrast, severe undersizing may result when ignoring the presence of any break.

引用

页码：1061 / 1064

页数：4

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