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EnglishThis paper considers tests for cointegration with allowance for structural breaks, using the extrema of residual-based tests over subsamples of the data. One motivation for the approach is to formalize the practice of data snooping by practitioners, who may examine subsamples after failing to find a predicted cointegrating relationship. Valid critical values for such multiple testing situations may be useful. The methods also have the advantage of not imposing a form for the alternative hypothesis, in particular slope vs. intercept shifts and single versus multiple breaks, and being comparatively easy to compute. A range of alternative subsampling procedures, including sample splits, incremental and rolling samples are tabulated and compared experimentally. Shiller's annual stock prices and dividends series provide an illustration.
| Autori: | |
| Titolo: | Tests for cointegration with structural breaks based on subsamples |
| Digital Object Identifier (DOI): | http://dx.doi.org/10.1016/j.csda.2010.01.028 |
| Data di pubblicazione: | 2010 |
| Abstract: | This paper considers tests for cointegration with allowance for structural breaks, using the extrema of residual-based tests over subsamples of the data. One motivation for the approach is to formalize the practice of data snooping by practitioners, who may examine subsamples after failing to find a predicted cointegrating relationship. Valid critical values for such multiple testing situations may be useful. The methods also have the advantage of not imposing a form for the alternative hypothesis, in particular slope vs. intercept shifts and single versus multiple breaks, and being comparatively easy to compute. A range of alternative subsampling procedures, including sample splits, incremental and rolling samples are tabulated and compared experimentally. Shiller's annual stock prices and dividends series provide an illustration. |
| Lingua: | Inglese |
| Rivista: | |
| Citazione: | Monticini, A., Davidson, J., Tests for cointegration with structural breaks based on subsamples, <<COMPUTATIONAL STATISTICS & DATA ANALYSIS>>, 2010; 54 (Novembre): 2498-2511. [doi:10.1016/j.csda.2010.01.028] [http://hdl.handle.net/10807/1897] |
| Appare nelle tipologie: | Articolo in rivista, Nota a sentenza |
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