Abstract
This paper considers tests for structural change
of the cointegrating vector and the adjustment vector in
the error correction model with an unknown change point.
This paper derives new tests for structural change, which
are applicable to maximum likelihood estimation. Our tests
for structural change of the cointegrating vector have
the same nonstandard asymptotic distributions that have
been found by Hansen (1992a, Journal of Business and
Economic Statistics 10, 321–335). In contrast,
the tests on the adjustment vector have the same asymptotic
distributions that have been found by Andrews and Ploberger
(1994, Econometrica 62, 1383–1414) for models
with stationary variables. Asymptotic critical values are
provided.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Cited by
72 articles.
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