A simple method for testing cointegration subject to regime

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/1822/1440
Resumo: In this paper, we propose a simple method for testing cointegration in models that allow for multiple shifts in the long run relationship. The procedure consists of computing conventional residual-based tests with standardized residuals from Markov switching estimation. No new critical values are needed. An empirical application to the present value model of stock prices is presented, complemented by a small Monte Carlo experiment.
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spelling A simple method for testing cointegration subject to regimeCointegrationMarkov switchingStandardized residualsIn this paper, we propose a simple method for testing cointegration in models that allow for multiple shifts in the long run relationship. The procedure consists of computing conventional residual-based tests with standardized residuals from Markov switching estimation. No new critical values are needed. An empirical application to the present value model of stock prices is presented, complemented by a small Monte Carlo experiment.Universidade do MinhoGabriel, Vasco J.Sola, MartinPsaradakis, Zacharias2001-062001-06-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/1440engUniversidade do Minho. Núcleo de Investigação em Políticas Económicasinfo: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:RCAAP2023-07-21T12:26:36Zoai:repositorium.sdum.uminho.pt:1822/1440Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:21:04.406524Repositório 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 A simple method for testing cointegration subject to regime
title A simple method for testing cointegration subject to regime
spellingShingle A simple method for testing cointegration subject to regime
Gabriel, Vasco J.
Cointegration
Markov switching
Standardized residuals
title_short A simple method for testing cointegration subject to regime
title_full A simple method for testing cointegration subject to regime
title_fullStr A simple method for testing cointegration subject to regime
title_full_unstemmed A simple method for testing cointegration subject to regime
title_sort A simple method for testing cointegration subject to regime
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
Markov switching
Standardized residuals
topic Cointegration
Markov switching
Standardized residuals
description In this paper, we propose a simple method for testing cointegration in models that allow for multiple shifts in the long run relationship. The procedure consists of computing conventional residual-based tests with standardized residuals from Markov switching estimation. No new critical values are needed. An empirical application to the present value model of stock prices is presented, complemented by a small Monte Carlo experiment.
publishDate 2001
dc.date.none.fl_str_mv 2001-06
2001-06-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/1822/1440
url http://hdl.handle.net/1822/1440
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Universidade do Minho. Núcleo de Investigação em Políticas Económicas
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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