Tests for Cointegration Breakdown Over a Short Time Period
提出检验协整关系在样本末尾等短期内是否破裂的方法，破裂可能源于协整向量或误差项性质的变化，并基于残差平方和与反向偏残差平方和构造检验统计量，使用子抽样法提供临界值。
This article 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 on the postbreakdown sum of squared residuals and sum of squared reverse partial sums of residuals. Critical values are provided using a subsampling method. Asymptotic results take the number of observations in the breakdown period, m, to be fixed while the total sample size, T + m, goes to infinity.