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...

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Bibliographic Details
Main Author: Gabriel, Vasco J. (author)
Other Authors: Sola, Martin (author), Psaradakis, Zacharias (author)
Format: workingPaper
Language:eng
Published: 2001
Subjects:
Cointegration
Tests
Structural change
Markov switching
Monte Carlo
Online Access:http://hdl.handle.net/1822/1356
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/1356

Internet

http://hdl.handle.net/1822/1356

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