A simple method for testing cointegration subject to regime changes
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Krolzig, H., 1996.
"Statistical Analysis of Cointegrated VAR Processes with Markovian Regime Shifts,"
SFB 373 Discussion Papers
1996,25, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Hans-Martin Krolzig, 1999. "Statistical Analysis of Cointegrated VAR Processes with Markovian Regime Shifts," Computing in Economics and Finance 1999 1113, Society for Computational Economics.
- Peter Reinhard Hansen, 2000. "Structural Breaks in the Cointegrated Vector Autoregressive Model," Econometric Society World Congress 2000 Contributed Papers 1240, Econometric Society.
- Driffill, John & Sola, Martin, 1998. "Intrinsic bubbles and regime-switching," Journal of Monetary Economics, Elsevier, vol. 42(2), pages 357-373, July.
- Hansen, Bruce E, 2002.
"Tests for Parameter Instability in Regressions with I(1) Processes,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 45-59, January.
- Hansen, Bruce E, 1992. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 321-335, July.
- Gregory, Allan W. & Nason, James M. & Watt, David G., 1996. "Testing for structural breaks in cointegrated relationships," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 321-341.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
- Andrews, Donald W K & Monahan, J Christopher, 1992.
"An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator,"
Econometrica, Econometric Society, vol. 60(4), pages 953-966, July.
- Donald W.K. Andrews & Christopher J. Monahan, 1990. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Cowles Foundation Discussion Papers 942, Cowles Foundation for Research in Economics, Yale University.
- Hall, Stephen G & Psaradakis, Zacharias & Sola, Martin, 1997. "Cointegration and Changes in Regime: The Japanese Consumption Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(2), pages 151-168, March-Apr.
- B. P. M. McCabe & S. J. Leybourne & Y. Shin, 1997. "A Parametric approach to testing the null of cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(4), pages 395-413, July.
- Gregory, Allan W & Hansen, Bruce E, 1996.
"Tests for Cointegration in Models with Regime and Trend Shifts,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(3), pages 555-560, August.
- Tom Doan, "undated". "GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks," Statistical Software Components RTS00082, Boston College Department of Economics.
- Seo, Byeongseon, 1998. "Tests For Structural Change In Cointegrated Systems," Econometric Theory, Cambridge University Press, vol. 14(2), pages 222-259, April.
- Inoue, Atsushi, 1999. "Tests of cointegrating rank with a trend-break," Journal of Econometrics, Elsevier, vol. 90(2), pages 215-237, June.
- Gregory, Allan W. & Hansen, Bruce E., 1996.
"Residual-based tests for cointegration in models with regime shifts,"
Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
- Allan Gregory & Bruce E. Hansen, 1992. "Residual-based Tests For Cointegration In Models With Regime Shifts," Working Paper 862, Economics Department, Queen's University.
- Gregory, A.W. & Hansen, B.E., 1992. "Residual-Based Tests for Cointegration in Models with Regime Shifts," RCER Working Papers 335, University of Rochester - Center for Economic Research (RCER).
- Kuo, Biing-Shen, 1998. "Test for partial parameter instability in regressions with I(1) processes," Journal of Econometrics, Elsevier, vol. 86(2), pages 337-368, June.
- Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2002. "Residual-based tests for cointegration and multiple regime shifts," NIPE Working Papers 7/2002, NIPE - Universidade do Minho.
- Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(1), pages 1-21, March.
- Jushan Bai & Robin L. Lumsdaine & James H. Stock, 1998. "Testing For and Dating Common Breaks in Multivariate Time Series," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 395-432.
- Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Gabriel, Vasco J. & Psaradakis, Zacharias & Sola, Martin, 2002. "A simple method of testing for cointegration subject to multiple regime changes," Economics Letters, Elsevier, vol. 76(2), pages 213-221, July.
- Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2002. "Residual-based tests for cointegration and multiple regime shifts," NIPE Working Papers 7/2002, NIPE - Universidade do Minho.
- Martins, Luis F. & Gabriel, Vasco J., 2014. "Modelling long run comovements in equity markets: A flexible approach," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 288-295.
- Vasco J. Gabriel & Luis F. Martins, 2000. "The Properties of Cointegration Tests in Models with Structural Change," NIPE Working Papers 1/2000, NIPE - Universidade do Minho.
- Eiji Kurozumi & Yoichi Arai, 2007.
"Efficient estimation and inference in cointegrating regressions with structural change,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 545-575, July.
- Kurozumi, Eiji & 黒住, 英司 & Arai, Yoichi & 荒井, 洋一, 2005. "Efficient Estimation and Inference in Cointegrating Regressions with Structural Change," Discussion Papers 2004-09, Graduate School of Economics, Hitotsubashi University.
- Vasco Gabriel & Luis Martins, 2011.
"Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship,"
Empirical Economics, Springer, vol. 41(3), pages 639-662, December.
- Vasco J. Gabriel & Luis F. Martins, 2010. "Cointegration Tests Under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship," NIPE Working Papers 28/2010, NIPE - Universidade do Minho.
- Vasco Gabriel & Luis Martins, 2010. "Cointegration Tests under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship," School of Economics Discussion Papers 0910, School of Economics, University of Surrey.
- Andrade, Philippe & Bruneau, Catherine & Gregoir, Stephane, 2005. "Testing for the cointegration rank when some cointegrating directions are changing," Journal of Econometrics, Elsevier, vol. 124(2), pages 269-310, February.
- Beyer, Andreas & Dewald, William G. & Haug, Alfred A., 2009. "Structural breaks, cointegration and the Fisher effect," Working Paper Series 1013, European Central Bank.
- Vasco Gabriel & Pataaree Sangduan, 2011.
"Assessing fiscal sustainability subject to policy changes: a Markov switching cointegration approach,"
Empirical Economics, Springer, vol. 41(2), pages 371-385, October.
- Vasco Gabriel & Pataaree Sangduan, 2009. "Assessing Fiscal Sustainability Subject to Policy Changes: a Markov Switching Cointegration Approach," School of Economics Discussion Papers 0309, School of Economics, University of Surrey.
- Haug Alfred A & Beyer Andreas & Dewald William, 2011. "Structural Breaks and the Fisher Effect," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-31, May.
- Matteo Mogliani, 2010.
"Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study,"
Working Papers
halshs-00564897, HAL.
- Matteo Mogliani, 2010. "Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study," PSE Working Papers halshs-00564897, HAL.
- Nakashima, Kiyotaka & Saito, Makoto, 2012.
"On the comparison of alternative specifications for money demand: The case of extremely low interest rate regimes in Japan,"
Journal of the Japanese and International Economies, Elsevier, vol. 26(3), pages 454-471.
- Nakashima, Kiyotaka & Saito, Makoto, 2012. "On the comparison of alternative specifications for money demand: The case of extremely low interest rate regimes in Japan," MPRA Paper 70765, University Library of Munich, Germany.
- Yoichi Arai & Eiji Kurozumi, 2005. "Testing for the Null Hypothesis of Cointegration with Structural Breaks (Subsequently published in "Econometric Reviews", Volume 26, Issue 6 November 2007, pages 705 - 739. )," CARF F-Series CARF-F-022, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Yoichi Arai & Eiji Kurozumi, 2007.
"Testing for the Null Hypothesis of Cointegration with a Structural Break,"
Econometric Reviews, Taylor & Francis Journals, vol. 26(6), pages 705-739.
- Yoichi Arai & Eiji Kurozumi, 2005. "Testing for the Null Hypothesis of Cointegration with Structural Breaks," CIRJE F-Series CIRJE-F-319, CIRJE, Faculty of Economics, University of Tokyo.
- Alexandre, Fernando & Bacao, Pedro & Gabriel, Vasco J., 2007. "Volatility in asset prices and long-run wealth effect estimates," Economic Modelling, Elsevier, vol. 24(6), pages 1048-1064, November.
- Kejriwal, Mohitosh & Perron, Pierre, 2008.
"The limit distribution of the estimates in cointegrated regression models with multiple structural changes,"
Journal of Econometrics, Elsevier, vol. 146(1), pages 59-73, September.
- Mohitosh Kejriwal & Pierre Perron, 2006. "The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes," Boston University - Department of Economics - Working Papers Series WP2006-064, Boston University - Department of Economics.
- Lutkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten, 2003.
"Comparison of tests for the cointegrating rank of a VAR process with a structural shift,"
Journal of Econometrics, Elsevier, vol. 113(2), pages 201-229, April.
- Lütkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten, 2000. "Comparison of tests for the cointegrating rank of a VAR process with a structural shift," SFB 373 Discussion Papers 2000,10, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Helmut Luetkepohl & Pentti Saikkonen & Carsten Trenkler, 2000. "Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift," Econometric Society World Congress 2000 Contributed Papers 0364, Econometric Society.
- Miller, Stephen M. & Martins, Luis Filipe & Gupta, Rangan, 2019.
"A Time-Varying Approach Of The Us Welfare Cost Of Inflation,"
Macroeconomic Dynamics, Cambridge University Press, vol. 23(2), pages 775-797, March.
- Stephen M. Miller & Luis F. Martins & Rangan Gupta, 2014. "A Time-Varying Approach of the US Welfare Cost of Inflation," Working Papers 201419, University of Pretoria, Department of Economics.
- Stephen M. Miller & Luis F. Martins & Rangan Gupta, 2014. "A Time-Varying Approach of the US Welfare Cost of Inflation," Working papers 2014-11, University of Connecticut, Department of Economics.
- Daiki Maki, 2013. "Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications," Empirical Economics, Springer, vol. 45(1), pages 605-625, August.
- David Neto, 2015. "Testing for and dating structural break in smooth time-varying cointegration parameters, with an application to retail gasoline price and crude oil price long-run relationship," Empirical Economics, Springer, vol. 49(3), pages 909-928, November.
More about this item
Keywords
Cointegration; Markov Switching; Standardized residuals.;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nip:nipewp:15/2001. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: NIPE (email available below). General contact details of provider: https://edirc.repec.org/data/nipampt.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.