This study discusses fiscal sustainability in three South Asian countries (Bangladesh, India, and Pakistan) by empirically examining a long-term relationship between revenue and expenditure with the consideration of the intertemporal budget constraint. The conventional cointegration analysis without any structural break and the Gregory-Hansen cointegration analysis that allows a one-time structural break suggest that the Bangladesh fiscal policy could be sustainable, while fiscal stances of India and Pakistan are unsustainable. When considering the Lucas critique, this research also includes a time-variant coefficient (TVC) model with the Kalman filter. The analysis confirms the results of the conventional and Gregory-Hansen cointegration tests for Bangladesh and India but identifies possible sustainability of the fiscal stance for Pakistan.