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Applied Economics Letters Volume 10, 2003 - Issue 15
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Original Articles

Behaviour of cointegration tests in the presence of structural breaks in variance

Jaesun Noh Treasury, Balance Sheet and Risk Management, CIBC
&
Tae-Hwan Kim School of Economics, University of Nottingham
Pages 999-1002 | Published online: 04 Jun 2010
 
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Abstract

In this paper, we show that spurious cointegration can occur when there are breaks in the variances of the innovation errors of time series, especially when the breaks occur early in the sample period. An empirical example is provided to demonstrate the case.

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