Testing the Null of Cointegration with Structural Breaks*
提出一种拉格朗日乘子型统计量，用于检验存在结构断点（包括确定性和协整向量中的断点）时的协整零假设，并考虑了内生回归变量的情况。该检验补充了通常的非协整检验，以获取更强的协整证据。
Abstract We propose a Lagrange Multiplier‐type statistic to test the null hypothesis of cointegration allowing for the possibility of a structural break, in both the deterministic and the cointegration vectors. Our proposal focuses on the presence of endogenous regressors. The test complements the usual non‐cointegration tests so as to obtain stronger evidence of cointegration. We consider the cases of known and unknown dates of the break. In the latter case, we show that minimizing the Sum of Squared Residuals results in a super‐consistent estimator of the break fraction. Finally, the behaviour of the tests is studied through Monte Carlo experiments.