Residual-based tests for cointegration in models with regime shifts

DOI10.1016/0304-4076(69)41685-7zbMath0834.62082OpenAlexW1972956294WikidataQ60638329 ScholiaQ60638329MaRDI QIDQ1906289

Allan W. Gregory, Bruce E. Hansen

Publication date: 8 April 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_862.pdf

zbMATH Keywords

simulationMonte CarloBrownian motionregime shiftscritical valueslimiting distributionsstructural breaksslopeinterceptADF testfinite-sample performancelong-run money-demand equationtests for cointegration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99)

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