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This paper considers issues related to testing for multiple structural changes in cointegrated systems. The authors derive the limiting distribution of the Sup-Wald test under mild conditions on the errors and regressors for a variety of testing problems. They show that even if the coefficients of the integrated regressors are held fixed but the intercept is allowed to change, the limit distributions are not the same as would prevail in a stationary framework. Including stationary regressors whose coefficients are not allowed to change does not affect the limiting distribution of the tests under the null hypothesis.
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