TESTS FOR COINTEGRATION IN MODELS WITH REGIME AND TREND SHIFTS

Authors
GREGORY AW HANSEN BE
Citation
Aw. Gregory et Be. Hansen, TESTS FOR COINTEGRATION IN MODELS WITH REGIME AND TREND SHIFTS, Oxford bulletin of economics and statistics, 58(3), 1996, pp. 555
Citations number
7
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences","Statistic & Probability","Statistic & Probability
Journal title
Oxford bulletin of economics and statistics → ACNP
ISSN journal
03059049
Volume
58
Issue
3
Year of publication
1996
Database
ISI
SICI code
0305-9049(1996)58:3<555:TFCIMW>2.0.ZU;2-#
Abstract
Recently Gregory and Hansen (1996) proposed a number of residual-based tests for cointegration in models with the possibility of a structura l break. They considered three models: (i) level shift; (ii) level shi ft with trend; and (iii) regime shift (both level shift and slope coef ficients can change). We introduce a more general model that permits a trend shift as well as a regime shift and we provide the critical val ues appropriate for testing this hypothesis.