| Residential College | false |
| Status | 已發表Published |
| Size properties of Lagrange Multiplier cointegration tests in the presence of structural breaks | |
Pui Sun Tam 
| |
| 2011-01-04 | |
| Source Publication | Applied Economics Letters
 |
| ABS Journal Level | 1 |
| ISSN | 1350-4851 |
| Volume | 19Issue:11Pages:1061-1064 |
| Abstract | The size properties of the recently advanced Lagrange Multiplier (LM) cointegration tests in the presence of structural breaks in time series are investigated. It is shown that misspecification of the types of breaks is liable to spurious rejection. In contrast, severe undersizing may result when ignoring the presence of any break. |
| Keyword | Cointegration Structural Break Monte Carlo Spurious Rejection |
| DOI | 10.1080/13504851.2011.613746 |
| Indexed By | SSCI |
| Language | 英語English |
| WOS Research Area | Business & Economics |
| WOS Subject | Economics |
| WOS ID | WOS:000301659600010 |
| Publisher | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND |
| Scopus ID | 2-s2.0-80053468416 |
| Fulltext Access | |
| Citation statistics | |
| Document Type | Journal article |
| Collection | Faculty of Business Administration DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS |
| Corresponding Author | Pui Sun Tam |
| Affiliation | Department of Finance and Business Economics, Faculty of Business Administration, University of Macau, Macau, PR China |
| First Author Affilication | Faculty of Business Administration |
| Corresponding Author Affilication | Faculty of Business Administration |
| Recommended Citation GB/T 7714 | Pui Sun Tam. Size properties of Lagrange Multiplier cointegration tests in the presence of structural breaks[J]. Applied Economics Letters, 2011, 19(11), 1061-1064. |
| APA | Pui Sun Tam.(2011). Size properties of Lagrange Multiplier cointegration tests in the presence of structural breaks. Applied Economics Letters, 19(11), 1061-1064. |
| MLA | Pui Sun Tam."Size properties of Lagrange Multiplier cointegration tests in the presence of structural breaks".Applied Economics Letters 19.11(2011):1061-1064. |
| Files in This Item: | There are no files associated with this item. | |||||
Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.
Edit Comment