In this paper we evaluate the performance of several structural break tests under various DGPs. Concretely we look at size and power properties of CUSUM based, LM and Wald volatility break tests. In a simulation study we derive the properties of the tests under shifts in the unconditional and...

This paper investigates the finite-sample properties of the smooth transition-based cointegration test proposed by Kapetanios et al. (2006) when the data generating process under the alternative hypothesis is a globally stationary second order LSTR model. The provided procedure describes an...