TESTS FOR STRUCTURAL CHANGE IN COINTEGRATED SYSTEMS
针对误差修正模型中协整向量和调整向量的结构变化，在未知变化点下提出了新的检验方法，并给出了渐近临界值。
This paper considers tests for structural change of the cointegrating vector and the adjustment vector in the error correction model with an unknown change point. This paper derives new tests for structural change, which are applicable to maximum likelihood estimation. Our tests for structural change of the cointegrating vector have the same nonstandard asymptotic distributions that have been found by Hansen (1992a, Journal of Business and Economic Statistics 10, 321–335). In contrast, the tests on the adjustment vector have the same asymptotic distributions that have been found by Andrews and Ploberger (1994, Econometrica 62, 1383–1414) for models with stationary variables. Asymptotic critical values are provided.