Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/1476
Título: | A simple method of testing for cointegration subject to multiple regime changes |
Autor(es): | Gabriel, Vasco J. Sola, Martin Psaradakis, Zacharias |
Palavras-chave: | Cointegration Hypothesis testing Markov switching Standardized residuals |
Data: | Jul-2002 |
Editora: | Elsevier Science |
Revista: | Economics Letters |
Citação: | "Economics Letters". ISSN 0165-1765. 76:2 (2002) 213-221. |
Resumo(s): | In this paper we propose a simple method of testing for cointegration in models that allow for multiple shifts in the long-run relationship. The procedure consists of carrying out conventional residual-based tests with standardized residuals from an appropriate Markov switching model. Our Monte Carlo results show that standard tests work well, even though their asymptotic validity can be questioned because they are not based on least-squares residuals. An empirical application to the present-value model of stock prices is also discussed. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/1476 |
DOI: | 10.1016/S0165-1765(02)00038-1 |
ISSN: | 0165-1765 |
Arbitragem científica: | yes |
Acesso: | Acesso aberto |
Aparece nas coleções: | NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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Vasco2002.pdf | 237,07 kB | Adobe PDF | Ver/Abrir |