Cointegration tests under multiple regime shifts : an application to the stock price-dividend relationship
Autor(a) principal: | |
---|---|
Data de Publicação: | 2010 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/1822/11671 |
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 work, 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. |
id |
RCAP_659a6f4da7f04b3223daac6aec47dda1 |
---|---|
oai_identifier_str |
oai:repositorium.sdum.uminho.pt:1822/11671 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
spelling |
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 work, 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.Fundação para a Ciência e a Tecnologia (FCT) - Programa Operacional Ciência e Inovação 2010 (POCI 2010)Fundo Europeu de Desenvolvimento Regional (FEDER)Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)Universidade do MinhoGabriel, Vasco J.Martins, Luís F.20102010-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/11671engGABRIEL, Vasco J. ; MARTINS, Luís J. – “Cointegration tests under multiple regime shifts : an application to the stock price-dividend relationship “[Em linha]. Braga : Núcleo de Investigação em Políticas Económicas, 2010. [Consult. 7 Fev. 2011]. Disponível em WWW: <URL:www3.eeg.uminho.pt/economia/nipe/docs/2010/NIPE_WP_28_2010.pdf>.info: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:RCAAP2023-07-21T12:23:47Zoai:repositorium.sdum.uminho.pt:1822/11671Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:17:36.401452Repositório 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, Vasco 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, Vasco J. |
author_facet |
Gabriel, Vasco J. Martins, Luís F. |
author_role |
author |
author2 |
Martins, Luís F. |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Universidade do Minho |
dc.contributor.author.fl_str_mv |
Gabriel, Vasco J. Martins, Luís 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 work, 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 |
2010 |
dc.date.none.fl_str_mv |
2010 2010-01-01T00:00:00Z |
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/1822/11671 |
url |
http://hdl.handle.net/1822/11671 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
GABRIEL, Vasco J. ; MARTINS, Luís J. – “Cointegration tests under multiple regime shifts : an application to the stock price-dividend relationship “[Em linha]. Braga : Núcleo de Investigação em Políticas Económicas, 2010. [Consult. 7 Fev. 2011]. Disponível em WWW: <URL:www3.eeg.uminho.pt/economia/nipe/docs/2010/NIPE_WP_28_2010.pdf>. |
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 |
Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
publisher.none.fl_str_mv |
Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
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 |
|
_version_ |
1799132628651081728 |