New study reveals more powerful cointegration tests for accurate economic forecasting
Structural breaks in time series data can make it seem like there are unit roots present. This study looked at different tests for cointegration when one variable has a structural break. The tests are not affected much by the break, but error correction models are usually better than the two-step method with the Dickey-Fuller test. Differences in power show up when the data doesn't have a common factor.