A simple method of testing for cointegration subject to multiple regime changes

DOI10.1016/S0165-1765(02)00038-1zbMath1031.91093OpenAlexW2005310621MaRDI QIDQ1607269

Vasco J. Gabriel, Zacharias Psaradakis, Martin Sola

Publication date: 31 July 2002

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(02)00038-1

zbMATH Keywords

Markov switchingCointegrationHypothesis testingStandardized residuals

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

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• Cointegration tests in the presence of structural breaks
• Testing for structural breaks in cointegrated relationships
• Asymptotic Properties of Residual Based Tests for Cointegration
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Testing For and Dating Common Breaks in Multivariate Time Series
• A Parametric approach to testing the null of cointegration

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