Abstract
In this paper, we show that spurious cointegration can occur when there are breaks in the variances of the innovation errors of time series, especially when the breaks occur early in the sample period. An empirical example is provided to demonstrate the case.
Original language | English |
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Pages (from-to) | 999-1002 |
Number of pages | 4 |
Journal | Applied Economics Letters |
Volume | 10 |
Issue number | 15 |
DOIs | |
Publication status | Published - 2003 Dec 15 |
All Science Journal Classification (ASJC) codes
- Economics and Econometrics