Behaviour of cointegration tests in the presence of structural breaks in variance

Jaesun Noh, Tae Hwan Kim

Research output: Contribution to journalArticle

7 Citations (Scopus)


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 languageEnglish
Pages (from-to)999-1002
Number of pages4
JournalApplied Economics Letters
Issue number15
Publication statusPublished - 2003 Dec 15


All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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