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

All Science Journal Classification (ASJC) codes

Economics and Econometrics

Access to Document

10.1080/1350485032000165449

Fingerprint Dive into the research topics of 'Behaviour of cointegration tests in the presence of structural breaks in variance'. Together they form a unique fingerprint.

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

@article{43ed20cdd5664908bb16ed8ae0731c75,

title = "Behaviour of cointegration tests in the presence of structural breaks in variance",

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.",

author = "Jaesun Noh and Kim, {Tae Hwan}",

year = "2003",

month = dec,

day = "15",

doi = "10.1080/1350485032000165449",

language = "English",

volume = "10",

pages = "999--1002",

journal = "Applied Economics Letters",

issn = "1350-4851",

publisher = "Routledge",

number = "15",

}

TY - JOUR

T1 - Behaviour of cointegration tests in the presence of structural breaks in variance

AU - Noh, Jaesun

AU - Kim, Tae Hwan

PY - 2003/12/15

Y1 - 2003/12/15

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=0742270354&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0742270354&partnerID=8YFLogxK

U2 - 10.1080/1350485032000165449

DO - 10.1080/1350485032000165449

M3 - Article

AN - SCOPUS:0742270354

VL - 10

SP - 999

EP - 1002

JO - Applied Economics Letters

JF - Applied Economics Letters

SN - 1350-4851

IS - 15

ER -