@article{1ec04c82951c412aa3507cfb66660f6c,
title = "Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending",
abstract = "We consider a set of variables with two types of nonstationary features, stochastic trends and broken linear trends. We develop tests that can determine whether there is a linear combination of these variables under which the nonstationary features can be canceled out. The first test can determine whether stochastic trends can be eliminated and thus whether cointegration holds, regardless of whether structural breaks in linear trends are eliminated. The second test can determine whether both stochastic trends and breaks in linear trends are simultaneously removed and thus whether cointegration and cobreaking simultaneously hold. The third test can determine whether not only breaks in linear trends but also linear trends themselves are eliminated along with stochastic trends and thus whether both cointegration and cotrending hold.",
keywords = "Cobreaking, cointegration, cotrending, multiple structural breaks",
author = "Carrion-i-Silvestre, {Josep Llu{\'i}s} and Dukpa Kim",
note = "Funding Information: Josep Ll{\'u}ıs Carrion-i-Silvestre acknowledges financial support from the Spanish Ministerio de Ciencia y Tecnolog{\'i}a, Agencia Espa{\~n}ola de Investigaci{\'o}n (AEI) and European Regional Development Fund (ERDF, EU) under grant ECO2017-83255-C3-1-P. Dukpa Kim acknowledges financial support from the National Research Foundation of Korea Grant funded by the Korean Government (NRF-2014S1A5A8018632). Dukpa Kim also acknowledges that this research is supported by the Korea University Grant (K1613441). Funding Information: Josep Llu?s Carrion-i-Silvestre acknowledges financial support from the Spanish Ministerio de Ciencia y Tecnolog?a, Agencia Espa?ola de Investigaci?n (AEI) and European Regional Development Fund (ERDF, EU) under grant ECO2017-83255-C3-1-P. Dukpa Kim acknowledges financial support from the National Research Foundation of Korea Grant funded by the Korean Government (NRF-2014S1A5A8018632). Dukpa Kim also acknowledges that this research is supported by the Korea University Grant (K1613441). Publisher Copyright: {\textcopyright} 2019, {\textcopyright} 2019 Taylor & Francis Group, LLC.",
year = "2019",
month = sep,
day = "14",
doi = "10.1080/07474938.2018.1528416",
language = "English",
volume = "38",
pages = "881--898",
journal = "Econometric Reviews",
issn = "0747-4938",
publisher = "Taylor and Francis Ltd.",
number = "8",
}