Cointegration and changes in regime: the Japanese consumption function

Hall, S.G. and Psaradakis, Zacharias and Sola, M. (1997) Cointegration and changes in regime: the Japanese consumption function. Journal of Applied Econometrics 12 (2), pp. 151-168. ISSN 0883-7252.

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Official URL: https://doi.org/10.1002/(SICI)1099-1255(199703)12:...

Abstract

In this paper we examine a model of cointegration where long‐run parameters are subject to switching between several different cointegrating regimes. These shifts are allowed to be governed by the outcome of an unobserved Markov chain with unknown transition probabilities. We illustrate this approach using Japanese data on consumption and disposable income, and find that the data favour a Markov‐switching long‐run relationship over a standard temporally stable formulation.

Metadata

Item Type:	Article
School:	School of Business, Economics & Informatics > Economics, Mathematics and Statistics
Depositing User:	Sarah Hall
Date Deposited:	27 Jul 2020 15:34
Last Modified:	27 Jul 2020 15:34
URI:	https://eprints.bbk.ac.uk/id/eprint/32687

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