Tests for Cointegration in Models with Regime and Trend Shifts

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Tests for Cointegration in Models with Regime and Trend Shifts

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Gregory, Allan W
Hansen, Bruce E

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Abstract

Recently A. W. Gregory and B. E. Hansen (1996) proposed a number of residual-based tests for cointegration models with the possibility of a structural break. They considered three models: level shift, level shift with trend, and regime shift (both level shift and slope coefficients can change). The authors introduce a more general model that permits a trend shift as well as a regime shift and they provide the critical values appropriate for testing this hypothesis. Copyright 1996 by Blackwell Publishing Ltd

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Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 58 (1996)
Issue (Month): 3 (August)
Pages: 555-60
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Handle: RePEc:bla:obuest:v:58:y:1996:i:3:p:555-60

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