Residual-based tests for cointegration and multiple regime shifts
In this paper we examine the properties of several cointegration tests when long run parameters are subject to multiple shifts, resorting to Monte Carlo methods. We assume that the changes in cointegration regimes are governed by a unobserved Markov chain process. This specification has the consider...
| Autor principal: | |
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| Outros Autores: | , |
| Formato: | workingPaper |
| Idioma: | eng |
| Publicado em: |
2001
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/1822/1356 |
| País: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/1356 |