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Size properties of Lagrange Multiplier cointegration tests in the presence of structural breaks
Pui Sun Tam
2011-01-04
Source PublicationApplied Economics Letters
ABS Journal Level1
ISSN1350-4851
Volume19Issue:11Pages:1061-1064
Abstract

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.

KeywordCointegration Structural Break Monte Carlo Spurious Rejection
DOIhttps://doi.org/10.1080/13504851.2011.613746
Indexed BySSCI
Language英语
WOS Research AreaBusiness & Economics
WOS SubjectEconomics
WOS IDWOS:000301659600010
PublisherROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND
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Cited Times [WOS]:1   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorPui Sun Tam
AffiliationDepartment of Finance and Business Economics, Faculty of Business Administration, University of Macau, Macau, PR China
First Author AffilicationFaculty of Business Administration
Corresponding Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Pui Sun Tam. Size properties of Lagrange Multiplier cointegration tests in the presence of structural breaks[J]. Applied Economics Letters,2011,19(11):1061-1064.
APA Pui Sun Tam.(2011).Size properties of Lagrange Multiplier cointegration tests in the presence of structural breaks.Applied Economics Letters,19(11),1061-1064.
MLA Pui Sun Tam."Size properties of Lagrange Multiplier cointegration tests in the presence of structural breaks".Applied Economics Letters 19.11(2011):1061-1064.
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