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Title: Tests for segmented cointegration Authors:  Luis Filipe Martins - ISCTE-IUL (Portugal) [presenting]
Paulo Rodrigues - Universidade Nova de Lisboa (Portugal)
Abstract: There is a growing literature that documents that the persistence of economic time series may change over time. Hence, it is natural to expect that these changes in persistence may also lead to changes in the long-run equilibrium of economic time series. According to previous research, failure to find a unique cointegration relationship between economic time series may be due to, for instance, the testing procedures used, the span of the data set analysed, the choice of the lag length in generating the test statistics, the presence of structural breaks and the presence of cointegration only beyond some threshold. This led to introduce the concept of regime-sensitive cointegration, according to which the underlying series need not be cointegrated at all times. The purpose is to evaluate existing cointegration test procedures and to propose new ones that can be used in the context of segmented cointegration.