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Article

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Accepted version

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2019-06

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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/135559

Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending

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https://doi.org/10.1080/07474938.2018.1528416

Abstract

We consider a set of variables with two types of non-stationary features, stochastic trends and broken linear trends. We develop tests that can determine whether there is a linear combination of these variables under which the non-stationary features can be canceled out. The first test can determine whether stochastic trends can be eliminated and thus whether cointegration holds, regardless of whether structural breaks in linear trends are eliminated. The second test can determine whether both stochastic trends and breaks in linear trends are simultaneously removed and thus whether cointegration and cobreaking simultaneously hold. The third test can determine whether not only breaks in linear trends but also linear trends themselves are eliminated along with stochastic trends and thus whether both cointegration and cotrending hold.

Subject

Integració econòmica, Programació lineal, Anàlisi estocàstica, Mètode de Montecarlo

Subject (English)

Economic integration, Linear programming, Analyse stochastique, Monte Carlo method

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Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

Citation

CARRIÓN I SILVESTRE, Josep Lluís and KIM, Dukpa. Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending. Econometric Reviews. 2019. Vol. 38, num. 8, pags. 881-898. ISSN 0747-4938. [consulted: 7 of August of 2026]. Available at: https://hdl.handle.net/2445/135559

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