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TESTS FOR STRUCTURAL CHANGE IN COINTEGRATED SYSTEMS

Published online by Cambridge University Press:  01 April 1998

Byeongseon Seo
Affiliation:
University of Rochester and Soongsil University

Abstract

This paper considers tests for structural change of the cointegrating vector and the adjustment vector in the error correction model with an unknown change point. This paper derives new tests for structural change, which are applicable to maximum likelihood estimation. Our tests for structural change of the cointegrating vector have the same nonstandard asymptotic distributions that have been found by Hansen (1992a, Journal of Business and Economic Statistics 10, 321–335). In contrast, the tests on the adjustment vector have the same asymptotic distributions that have been found by Andrews and Ploberger (1994, Econometrica 62, 1383–1414) for models with stationary variables. Asymptotic critical values are provided.

Type
Research Article
Copyright
© 1998 Cambridge University Press

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