Westerlund, Joakim; Edgerton, David L. - In: Journal of Time Series Analysis 28 (2007) 2, pp. 188-224
This article proposes Lagrange multiplier-based tests for the null hypothesis of no cointegration. The tests are general enough to allow for heteroskedastic and serially correlated errors, deterministic trends, and a structural break of unknown timing in both the intercept and slope. The...