Testing of Conintegration with Mechanismic Changes
Zhang Shi-ying · Journal of systems management · 2006
In this paper,we proposed the concepts and types of cointegration with structural changes,and divided the cointegration with structural changes into three types of(1) cointegration with coefficients shift,(2) partially cointegration,and(3) cointegration with mechanismic changes,respectively.For the third type of cointegration with structure change,we developed Chow-type test statistics for testing cointegration with dimensional changes and the modeling procedure when the structure changes occur,and also,studied the asymptotic properties of the statistic.Finally,we discussed the estimation of break points and modeling procedure.