Arranz, Miguel; Escribano, Alvaro - In: Spanish Economic Review 6 (2004) 4, pp. 243-266
The main goal of this paper is to analyze the behavior of the ECM non-cointegration test when there are additive outliers in the time series under different co-breaking situations. We show that the critical values of the usual ECM test are not robust to the presence of transitory shocks and we...