Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship
Autor(a) principal: | |
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Data de Publicação: | 2011 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://www.springerlink.com/content/n416855h5vtu5085/ https://ciencia.iscte-iul.pt/public/pub/id/860 http://hdl.handle.net/10071/6880 |
Resumo: | We examine the properties of several residual-based cointegration tests when long-run parameters are subject to multiple shifts driven by an unobservable Markov process. Unlike earlier study, which considered one-off deterministic breaks, our approach has the advantage of allowing for an unspecified number of stochastic breaks. We illustrate this issue by exploring the possibility of Markov switching cointegration in the stock price-dividend relationship and showing that this case is empirically relevant. Our subsequent Monte Carlo analysis reveals that standard cointegration tests are generally reliable, their performance often being robust for a number of plausible regime shift parameterizations. |
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Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationshipPresent value modelCointegration testsMarkov switchingWe examine the properties of several residual-based cointegration tests when long-run parameters are subject to multiple shifts driven by an unobservable Markov process. Unlike earlier study, which considered one-off deterministic breaks, our approach has the advantage of allowing for an unspecified number of stochastic breaks. We illustrate this issue by exploring the possibility of Markov switching cointegration in the stock price-dividend relationship and showing that this case is empirically relevant. Our subsequent Monte Carlo analysis reveals that standard cointegration tests are generally reliable, their performance often being robust for a number of plausible regime shift parameterizations.Physica-Verlag GMBH & CO2014-04-08T18:42:50Z2011-01-01T00:00:00Z20112014-04-08T18:41:10Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://www.springerlink.com/content/n416855h5vtu5085/https://ciencia.iscte-iul.pt/public/pub/id/860http://hdl.handle.net/10071/6880eng0377-7332Gabriel, V. J.Martins, L. F.info:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:22:59Zoai:repositorio.iscte-iul.pt:10071/6880Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:10:34.394512Repositório 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 |
Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship |
title |
Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship |
spellingShingle |
Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship Gabriel, V. J. Present value model Cointegration tests Markov switching |
title_short |
Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship |
title_full |
Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship |
title_fullStr |
Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship |
title_full_unstemmed |
Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship |
title_sort |
Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship |
author |
Gabriel, V. J. |
author_facet |
Gabriel, V. J. Martins, L. F. |
author_role |
author |
author2 |
Martins, L. F. |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Gabriel, V. J. Martins, L. F. |
dc.subject.por.fl_str_mv |
Present value model Cointegration tests Markov switching |
topic |
Present value model Cointegration tests Markov switching |
description |
We examine the properties of several residual-based cointegration tests when long-run parameters are subject to multiple shifts driven by an unobservable Markov process. Unlike earlier study, which considered one-off deterministic breaks, our approach has the advantage of allowing for an unspecified number of stochastic breaks. We illustrate this issue by exploring the possibility of Markov switching cointegration in the stock price-dividend relationship and showing that this case is empirically relevant. Our subsequent Monte Carlo analysis reveals that standard cointegration tests are generally reliable, their performance often being robust for a number of plausible regime shift parameterizations. |
publishDate |
2011 |
dc.date.none.fl_str_mv |
2011-01-01T00:00:00Z 2011 2014-04-08T18:42:50Z 2014-04-08T18:41:10Z |
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://www.springerlink.com/content/n416855h5vtu5085/ https://ciencia.iscte-iul.pt/public/pub/id/860 http://hdl.handle.net/10071/6880 |
url |
http://www.springerlink.com/content/n416855h5vtu5085/ https://ciencia.iscte-iul.pt/public/pub/id/860 http://hdl.handle.net/10071/6880 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
0377-7332 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/embargoedAccess |
eu_rights_str_mv |
embargoedAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Physica-Verlag GMBH & CO |
publisher.none.fl_str_mv |
Physica-Verlag GMBH & CO |
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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1799134659387326464 |