Cointegration tests under multiple regime shifts : an application to the stock price-dividend relationship
We examine the properties of several residual-based cointegration tests when long run parameters are subject to multiple shifts driven by an unobservable Markov process. Unlike earlier work, which considered one-off deterministic breaks, our approach has the advantage of allowing for an unspecified...
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| Formato: | workingPaper |
| Idioma: | eng |
| Publicado em: |
2010
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| Texto completo: | http://hdl.handle.net/1822/11671 |
| País: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/11671 |