摘要：Under traditional cointegration tests, some eligible I(1) time series systems Xt, that are not cointegrated over a given time period, say (0,T1], sometimes test as
cointegrated over sub-periods. That is, the system appears to have a stationary linear
structure ζ′Xt for certain vector ζ in the period 0<t≤T1. Understanding the dynamics
between cointegration test power and restricted sample size that causes this inversion
of results is a crucial issue when forecasting over extended future time periods. In this
paper, we consider non-cointegrated systems that are closely related to collinear systems.
We apply a residual based procedure to such systems and establish a criterion for making
the decision whether or not Xt can be continuously accepted as I(0) for t>T1 when Xt was accepted as I(0) fort≤T1.
