Testing for the Null Hypothesis of Cointegration with a Structural Break
By Y. Arai, Eiji Kurozumi. 2007
115 citations recorded by the source corpus.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/c55772f6ad2dd2529e870bd307789bb235251e23
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In Economics and Econometrics
- Muhammad Shahbaz
- Duc Khuong Nguyen
- Syed Ali Raza
- V. Esteve
- Cecilio Tamarit
- Ilhan Ozturk
- Avik Sinha
- Perry Sadorsky
Citations in the corpus
- Energy conservation policies, growth and trade performance: Evidence of feedback hypothesis in Pakistan (2015, methodology): “The procedure proposed by Arai and Kurozumi (2007) is suitable for examining the cointegration between the variables, to the extent that the underlying dynamics of the variables used may be exposed to structural changes.”
- Is there an environmental Kuznets curve for Spain? Fresh evidence from old data (2012, methodology): “First, we use the residual-based test of the null of cointegration with an unknown single break against the alternative of no cointegration proposed in Arai and Kurozumi (2007). They propose a LM test based on partial sums of residuals where the break point is obtained by minimizing the sum of squar”