A simple method for testing cointegration subject to regime
In this paper, we propose a simple method for testing cointegration in models that allow for multiple shifts in the long run relationship. The procedure consists of computing conventional residual-based tests with standardized residuals from Markov switching estimation. No new critical values are ne...
| 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/1822/1440 |
| País: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/1440 |