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Cointegration testing under structural change: reducing size distortions and improving power of residual based tests

机译:结构变化下的协整测试:减少尺寸失真并提高基于残差的测试的功效

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This paper investigates how standard residual based tests for cointegration-under structural change in the long run relationship-can be modified in order to reduce size distortions and improve power, by following the same ideas used in the unit root context. This is a natural strategy given that these tests are unit root statistics applied to estimated residuals from a cointegrating regression. In order to assess the finite sample performance of the alternative tests, a Monte Carlo experiment will be implemented to analyze size and power. Critical values for the tests constructed with GLS detrended data, proposed by Elliot et al. (Econometrica 64:813-836, 1996), are obtained by simulation.
机译:本文研究了如何通过遵循单位根上下文中使用的相同思想来修改基于协整的标准残差测试(长期关系在结构变化下),以减少尺寸失真并提高功率。鉴于这些测试是单位根统计,适用于协整回归的估计残差,因此这是一种自然的策略。为了评估替代测试的有限样本性能,将执行蒙特卡洛实验以分析尺寸和功效。 Elliot等人提出的用GLS去趋势数据构造的测试的临界值。 (Econometrica 64:813-836,1996)通过模拟获得。

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