The power and size of five cointegration tests, the ADF‐, Zˆα‐, ECM‐, SW‐, and JJ‐statistics, are evaluated in some large‐scale Monte Carlo simulations, when the underlying system is subjected to regime shifts. Following the suggestion by Gregory and Hansen, selects the minimum value for the shift‐corrected statistics evaluated over a set of tentative break points for the regime shifts. The performance of these statistics is compared to the corresponding ordinary statistics in conditions of regime shifts. The results show that no test uniformly outperforms the others in terms of power in the parameter space we have used.
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