BIROn - Birkbeck Institutional Research Online

    A simple method of testing for cointegration subject to multiple regime changes

    Gabriel, V.J. and Sola, M. and Psaradakis, Zacharias (2002) A simple method of testing for cointegration subject to multiple regime changes. Economics Letters 76 (2), pp. 213-221. ISSN 0165-1765.

    Full text not available from this repository.

    Abstract

    In this paper we propose a simple method of testing for cointegration in models that allow for multiple shifts in the long-run relationship. The procedure consists of carrying out conventional residual-based tests with standardized residuals from an appropriate Markov switching model. Our Monte Carlo results show that standard tests work well, even though their asymptotic validity can be questioned because they are not based on least-squares residuals. An empirical application to the present-value model of stock prices is also discussed.

    Metadata

    Item Type: Article
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Sarah Hall
    Date Deposited: 21 Jul 2020 09:39
    Last Modified: 21 Jul 2020 09:39
    URI: https://eprints.bbk.ac.uk/id/eprint/32625

    Statistics

    Downloads
    Activity Overview
    0Downloads
    111Hits

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item