Publication Date: September 2001
We show that the conventional CUSUM test for structural change can be applied to cointegrating regression residuals leading to a consistent residual based test for the null hypothesis of cointegration. The proposed tests are semiparametric and utilize fully modiﬁed residuals to correct for endogeneity and serial correlation and to scale out nuisance parameters. The limit distribution of the test is derived under both the null and the alternative hypothesis. The tests are easy to use and are found to perform quite well in a Monte Carlo experiment.
Bandwidth, CUSUM test, Fully modiﬁed regression, Null of cointegration, Residual based test, Semiparametric method
JEL Classification Codes: C22
See CFP: 1046