PRACTITIONERS CORNER: Tests for Cointegration in Models with Regime and Trend Shifts
- 1 August 1996
- journal article
- Published by Wiley in Oxford Bulletin of Economics and Statistics
- Vol. 58 (3) , 555-560
- https://doi.org/10.1111/j.1468-0084.1996.mp58003008.x
Abstract
Recently Gregory and Hansen (1996) proposed a number of residual‐based tests for cointegration in models with the possibility of a structural break. They considered three models: (i) level shift; (ii) level shift with trend; and (iii) regime shift (both level shift and slope coefficients can change). We introduce a more general model that permits a trend shift as well as a regime shift and we provide the critical values appropriate for testing this hypothesis.This publication has 6 references indexed in Scilit:
- Testing for structural breaks in cointegrated relationshipsJournal of Econometrics, 1996
- Residual-based tests for cointegration in models with regime shiftsJournal of Econometrics, 1996
- Tests for Parameter Instability in Regressions with I(1) ProcessesJournal of Business & Economic Statistics, 1992
- Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root HypothesisJournal of Business & Economic Statistics, 1992
- The Great Crash, the Oil Price Shock, and the Unit Root HypothesisEconometrica, 1989
- Time Series Regression with a Unit RootEconometrica, 1987