Spurious rejections by cointegration tests induced by structural breaks

By S. Leybourne, P. Newbold. 2003

167 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/22a8c537f3ac7ca7e4382e1177b88269b7b2fc42

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. E. Wilson
2. Andrew C. Worthington
3. M. Pahlavani
4. Robert L. Czudaj
5. J. Beckmann

In Finance

1. Andrew C. Worthington

Citations in the corpus

• Trade-GDP Nexus in Iran: An Application of the Autoregressive Distributed Lag (ARDL) Model (2005, background): “Leybourne and Newbold ([1]), for example, argue that if structural breaks are not dealt with appropriately, empirical results obtained from the use of, say, cointegration techniques could be spurious and misleading.”
• Gold investment as an inflationary hedge: cointegration evidence with allowance for endogenous structural breaks (2007, unknown): “If such structural changes are present in the data generating process, but not allowed for in the specification of an econometric model, the results may then be biased towards the erroneous nonrejection of the nonstationarity hypothesis (Perron, 1989, 1997; Leybourne and Newbold, 2003). Zivot and An”