Residual-based tests for cointegration and multiple regime shifts

Detalhes bibliográficos
Autor(a) principal: Gabriel, Vasco J.
Data de Publicação: 2001
Outros Autores: Sola, Martin, Psaradakis, Zacharias
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/1822/1356
Resumo: In this paper we examine the properties of several cointegration tests when long run parameters are subject to multiple shifts, resorting to Monte Carlo methods. We assume that the changes in cointegration regimes are governed by a unobserved Markov chain process. This specification has the considerable advantage of allowing for an unspecified number of stochastic breaks, unlike previous works that consider a single, deterministic break. Our Monte Carlo analysis reveals that testing cointegration with the usual procedures is a quite unreliable task, since the performance of the tests is poor for a number of plausible regime shifts parameterizations.
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spelling Residual-based tests for cointegration and multiple regime shiftsCointegrationTestsStructural changeMarkov switchingMonte CarloIn this paper we examine the properties of several cointegration tests when long run parameters are subject to multiple shifts, resorting to Monte Carlo methods. We assume that the changes in cointegration regimes are governed by a unobserved Markov chain process. This specification has the considerable advantage of allowing for an unspecified number of stochastic breaks, unlike previous works that consider a single, deterministic break. Our Monte Carlo analysis reveals that testing cointegration with the usual procedures is a quite unreliable task, since the performance of the tests is poor for a number of plausible regime shifts parameterizations.Universidade do MinhoGabriel, Vasco J.Sola, MartinPsaradakis, Zacharias2001-112001-11-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/1356enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-21T11:55:21Zoai:repositorium.sdum.uminho.pt:1822/1356Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:44:54.057834Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Residual-based tests for cointegration and multiple regime shifts
title Residual-based tests for cointegration and multiple regime shifts
spellingShingle Residual-based tests for cointegration and multiple regime shifts
Gabriel, Vasco J.
Cointegration
Tests
Structural change
Markov switching
Monte Carlo
title_short Residual-based tests for cointegration and multiple regime shifts
title_full Residual-based tests for cointegration and multiple regime shifts
title_fullStr Residual-based tests for cointegration and multiple regime shifts
title_full_unstemmed Residual-based tests for cointegration and multiple regime shifts
title_sort Residual-based tests for cointegration and multiple regime shifts
author Gabriel, Vasco J.
author_facet Gabriel, Vasco J.
Sola, Martin
Psaradakis, Zacharias
author_role author
author2 Sola, Martin
Psaradakis, Zacharias
author2_role author
author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Gabriel, Vasco J.
Sola, Martin
Psaradakis, Zacharias
dc.subject.por.fl_str_mv Cointegration
Tests
Structural change
Markov switching
Monte Carlo
topic Cointegration
Tests
Structural change
Markov switching
Monte Carlo
description In this paper we examine the properties of several cointegration tests when long run parameters are subject to multiple shifts, resorting to Monte Carlo methods. We assume that the changes in cointegration regimes are governed by a unobserved Markov chain process. This specification has the considerable advantage of allowing for an unspecified number of stochastic breaks, unlike previous works that consider a single, deterministic break. Our Monte Carlo analysis reveals that testing cointegration with the usual procedures is a quite unreliable task, since the performance of the tests is poor for a number of plausible regime shifts parameterizations.
publishDate 2001
dc.date.none.fl_str_mv 2001-11
2001-11-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/1822/1356
url http://hdl.handle.net/1822/1356
dc.language.iso.fl_str_mv eng
language eng
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eu_rights_str_mv openAccess
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dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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