Instability in cointegration regressions : a brief review with an application to money demand in Portugal

Detalhes bibliográficos
Autor(a) principal: Gabriel, Vasco J.
Data de Publicação: 2003
Outros Autores: Lopes, Artur C. B. da Silva, Nunes, Luis C.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/1822/6822
Resumo: This study addresses some modelling questions related to the possibility of structural change in models with nonstationary variables. Focusing on cointegration issues, some methodological aspects are discussed, attempting to integrate coherently the several steps of the modelling strategy. These range from unit root to cointegration testing and to testing for instability in the cointegration vector. An empirical example with Portuguese data tries to illustrate the usefulness of this approach, where a simple money demand function is estimated using an error-correction model (ECM). If a break is explicitly allowed in the cointegration vector the forecasting performance of the ECM improves.
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spelling Instability in cointegration regressions : a brief review with an application to money demand in PortugalSocial SciencesThis study addresses some modelling questions related to the possibility of structural change in models with nonstationary variables. Focusing on cointegration issues, some methodological aspects are discussed, attempting to integrate coherently the several steps of the modelling strategy. These range from unit root to cointegration testing and to testing for instability in the cointegration vector. An empirical example with Portuguese data tries to illustrate the usefulness of this approach, where a simple money demand function is estimated using an error-correction model (ECM). If a break is explicitly allowed in the cointegration vector the forecasting performance of the ECM improves.Fundação para a Ciência e Tecnologia (FCT) -PRAXIS XXI BD/16141/98, POCTI/ECO/33778/2000, POCTI/ ECO/34755/2000RoutledgeUniversidade do MinhoGabriel, Vasco J.Lopes, Artur C. B. da SilvaNunes, Luis C.2003-012003-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/6822eng"Applied Economics". ISSN 1466-4283. 35:8 (Jan. 2003) 893 - 900.1466-428310.1080/0003684022000018187http://web.ebscohost.com/ehost/pdf?vid=2&hid=4&sid=dbc68f26-1d2f-4bfb-a0ed-bb4706fbc2a2%40sessionmgr2info: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:RCAAP2023-07-21T12:33:03Zoai:repositorium.sdum.uminho.pt:1822/6822Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:28:31.227807Repositório 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 Instability in cointegration regressions : a brief review with an application to money demand in Portugal
title Instability in cointegration regressions : a brief review with an application to money demand in Portugal
spellingShingle Instability in cointegration regressions : a brief review with an application to money demand in Portugal
Gabriel, Vasco J.
Social Sciences
title_short Instability in cointegration regressions : a brief review with an application to money demand in Portugal
title_full Instability in cointegration regressions : a brief review with an application to money demand in Portugal
title_fullStr Instability in cointegration regressions : a brief review with an application to money demand in Portugal
title_full_unstemmed Instability in cointegration regressions : a brief review with an application to money demand in Portugal
title_sort Instability in cointegration regressions : a brief review with an application to money demand in Portugal
author Gabriel, Vasco J.
author_facet Gabriel, Vasco J.
Lopes, Artur C. B. da Silva
Nunes, Luis C.
author_role author
author2 Lopes, Artur C. B. da Silva
Nunes, Luis C.
author2_role author
author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Gabriel, Vasco J.
Lopes, Artur C. B. da Silva
Nunes, Luis C.
dc.subject.por.fl_str_mv Social Sciences
topic Social Sciences
description This study addresses some modelling questions related to the possibility of structural change in models with nonstationary variables. Focusing on cointegration issues, some methodological aspects are discussed, attempting to integrate coherently the several steps of the modelling strategy. These range from unit root to cointegration testing and to testing for instability in the cointegration vector. An empirical example with Portuguese data tries to illustrate the usefulness of this approach, where a simple money demand function is estimated using an error-correction model (ECM). If a break is explicitly allowed in the cointegration vector the forecasting performance of the ECM improves.
publishDate 2003
dc.date.none.fl_str_mv 2003-01
2003-01-01T00:00:00Z
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/1822/6822
url http://hdl.handle.net/1822/6822
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv "Applied Economics". ISSN 1466-4283. 35:8 (Jan. 2003) 893 - 900.
1466-4283
10.1080/0003684022000018187
http://web.ebscohost.com/ehost/pdf?vid=2&hid=4&sid=dbc68f26-1d2f-4bfb-a0ed-bb4706fbc2a2%40sessionmgr2
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.publisher.none.fl_str_mv Routledge
publisher.none.fl_str_mv Routledge
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
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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