Author： Khedhiri Sami
Publisher： Taylor & Francis Ltd
ISSN： 0094-9655
Source： Journal of Statistical Computation and Simulation, Vol.78, Iss.7, 2008-01, pp. : 585-593
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Abstract
We present Monte Carlo simulation experiments to investigate the finite-sample properties of structural change tests in cointegrated relationships. These tests are computed using three alternative efficient estimators of cointegrating vectors. It is shown that the tests have overall accurate size and good power performance with a slight out performance of the fully modified and the leads and lags estimators-based tests. However our simulation results reveal substantial power decrease for all the tests due to higher error serial correlation.
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