Tests for cointegration allowing for an unknown number of breaks
Tests for cointegration allowing for an unknown number of breaks
复制标题
允许未知数量的中断的协整测试
DOI：
10.1016/j.econmod.2012.04.022
复制
发表时间：
2012
影响因子：
4.7
通讯作者：
Daiki Maki
中科院分区：
文献类型：
--
作者：
藪友良;Manabu Asai;Daiki Maki
本文介绍了允许未知断裂数的协整检验。引入的测试假设未指定的中断次数小于或等于先验设置的最大中断次数。蒙特卡罗模拟提供了两个主要结果。首先，本文提出的检验与Gregory and Hansen （1996a）和Hatemi-J（2008）的检验表现一样好，后者假设当协整关系有一个或两个断裂时，会有一个或两个先验断裂。其次，当协整关系有三个以上断裂或持续马尔可夫切换移位时，本文提出的检验比Gregory和Hansen （1996a）和Hatemi-J（2008）的检验表现更好。我们还对美国的货币需求进行了实证应用。实证结果表明，与其他检验相比，所提出的检验拒绝无协整的零假设。
This paper introduces cointegration tests allowing for an unknown number of breaks. The introduced tests assume that the unspecified number of breaks is smaller than or equal to the maximum number of breaks set a priori. Monte Carlo simulations provide two main results. First, the proposed tests perform as well as the tests of Gregory and Hansen (1996a) and Hatemi-J (2008), which assume one or two breaks a priori, when the cointegration relationship has one or two breaks. Second, the proposed tests perform better than the tests of Gregory and Hansen (1996a) and Hatemi-J (2008) when the cointegration relationship has more than three breaks or persistent Markov switching shifts. We also provide empirical applications for the money demand of the U.S. The empirical results show that the proposed tests reject the null hypothesis of no cointegration as compared to other tests.