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Tests for Cointegration, Cobreaking and Cotrending in a System of Trending VariablesTests for Cointegration, Cobreaking and Cotrending in a System of Trending Variables
- Other Titles
- Tests for Cointegration, Cobreaking and Cotrending in a System of Trending Variables
- Authors
- Josep Lluis Carrion-i-Silvestre; 김덕파
- Issue Date
- 2018
- Publisher
- 서강대학교 지암남덕우경제연구원
- Keywords
- cointegration; cobreaking; cotrending; multiple structural breaks
- Citation
- 시장경제연구, v.47, no.1, pp.189 - 209
- Indexed
- KCI
- Journal Title
- 시장경제연구
- Volume
- 47
- Number
- 1
- Start Page
- 189
- End Page
- 209
- ISSN
- 2092-6332
- Abstract
- We consider a set of variables with a deterministic trend and a stochastic trend. The deterministic trend is allowed to have changes in the intercept and slope. We develop three tests, a cointegration test, a joint test for cointegration and cobreaking, and a joint test for cointegration and cotrending. Our analysis in this paper is complementary to Carrion-i-Silvestre and Kim(2017), which deals with deterministic trends with intercept shifts only.
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