Testing for structural change in cointegrated regression models: some comparisons and generalizations
比较和推广了协整回归模型中的结构变化检验方法，将Hansen的LM检验推广到部分结构变化，并提出了指数平均LM检验和一种对截距跳跃稳健的协整检验，通过蒙特卡洛模拟评估了有限样本表现。
Abstract This paper compares and generalizes some testing procedures for structural change in the context of cointegrated regression models. The Lagrange Multiplier (LM) tests proposod by Hansen (1992) are generalized to testing for partial structural change. An exponential average LM test is also suggested following the idea of Andrews and Ploberger (1992). In particular, an optimal test for cointegration is developed. We also propose a new cointegration test which is robust to a possible one-time discrete jump in the intercept. We tabulate the asymptotic critical values for the above tests and conduct a small Monte Carlo simulation to investigate their finite sample performance.