Andrews, Donald W.K.; Kim, Jae-Young - Cowles Foundation for Research in Economics, Yale University - 2003
This paper introduces tests for cointegration breakdown that may occur over a relatively short time period, such as at the end of the sample. The breakdown may be due to a shift in the cointegrating vector or due to a shift in the errors from being I(0) to being I(1). Tests are introduced based...
