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.
| Original language | English |
|---|---|
| Journal | Econometric Reviews |
| DOIs | |
| Publication status | Accepted/In press - 2019 Jan 1 |
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Keywords
- Cobreaking
- cointegration
- cotrending
- multiple structural breaks
ASJC Scopus subject areas
- Economics and Econometrics
Cite this
Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending. / Carrion-i-Silvestre, Josep Lluís; Kim, Dukpa.
In: Econometric Reviews, 01.01.2019.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
AU - Carrion-i-Silvestre, Josep Lluís
AU - Kim, Dukpa
PY - 2019/1/1
Y1 - 2019/1/1
N2 - 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.
AB - 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.
KW - Cobreaking
KW - cointegration
KW - cotrending
KW - multiple structural breaks
UR - http://www.scopus.com/inward/record.url?scp=85060350901&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85060350901&partnerID=8YFLogxK
U2 - 10.1080/07474938.2018.1528416
DO - 10.1080/07474938.2018.1528416
M3 - Article
JO - Econometric Reviews
JF - Econometric Reviews
SN - 0747-4938
ER -