Carrion-i-Silvestre, Josep Lluís; Sansó, Andreu - Departament d'Economia Aplicada, Facultat de Ciències … - 2005
In this paper we propose an LM-Type statistic to test the null hypothesis of cointegration allowing for the possibility of a structural break, in both the deterministic and the cointegration vector. Our proposal focuses on the presence of endogenous regressors and analyses which estimation...