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

Jaesun Noh; Tae Hwan Kim

doi:10.1080/1350485032000165449

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

Jaesun Noh, Tae Hwan Kim

Department of Economics

Research output: Contribution to journal › Article

7 Citations (Scopus)

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
Pages (from-to)	999-1002
Number of pages	4
Journal	Applied Economics Letters
Volume	10
Issue number	15
DOIs	https://doi.org/10.1080/1350485032000165449
Publication status	Published - 2003 Dec 15

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All Science Journal Classification (ASJC) codes

Economics and Econometrics

Cite this

Noh, J., & Kim, T. H. (2003). Behaviour of cointegration tests in the presence of structural breaks in variance. Applied Economics Letters, 10(15), 999-1002. https://doi.org/10.1080/1350485032000165449

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10.1080/1350485032000165449