@TechReport{dp-656,
  author   = {Rodrigues, Paulo M.M. and Sibbertsen, Philipp and Voges, Michelle},
  astring  = {Paulo M. M. Rodrigues and Philipp Sibbertsen and Michelle Voges},
  title    = {Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium},
  month    = {June},
  year     = {2019},
  pages    = {27},
  size     = {519},
  number   = {656},
  language = {en},
  keywords = {Fractional cointegration, Persistence breaks, Hassler-Breitung test, Changing Long-run equilibrium},
  jelclass = {C12, C32},
  abstract = {In this paper, test procedures for no fractional cointegration against possible breaks
in the persistence structure of a fractional cointegrating relationship are introduced.
The tests proposed are based on the supremum of the Hassler and Breitung (2006)
test statistic for no cointegration over possible breakpoints in the long-run equilibrium.
We show that the new tests correctly standardized converge to the supremum of a chisquared
distribution, and that this convergence is uniform. An in-depth Monte Carlo
analysis provides results on the finite sample performance of our tests. We then use the
new procedures to investigate whether there was a dissolution of fractional cointegrating
relationships between benchmark government bonds of ten EMU countries (Spain, Italy,
Portugal, Ireland, Greece, Belgium, Austria, Finland, the Netherlands and France) and
Germany with the beginning of the European debt crisis.}
}