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Residual-based tests forcointegration with gradual switching

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  • Junya Masuda

Abstract

In this article, we propose residual-based tests for cointegration in models with gradual switching. The cointegration test proposed by Gregory and Hansen (1996) is employed to consider the structural break. However, this test has not been considered in the case of gradual switching. Therefore, we extend this test by considering gradual switching. We derive the asymptotic distribution and critical values of the test statistics.

Suggested Citation

  • Junya Masuda, 2010. "Residual-based tests forcointegration with gradual switching," Applied Economics Letters, Taylor & Francis Journals, vol. 17(2), pages 129-133, January.
    • Handle: RePEc:taf:apeclt:v:17:y:2010:i:2:p:129-133
    DOI: 10.1080/13504850701720023
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    1. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
    2. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    3. Ohtani, Kazuhiro & Kakimoto, Sumio & Abe, Kenzo, 1990. "A gradual switching regression model with a flexible transition path," Economics Letters, Elsevier, vol. 32(1), pages 43-48, January.
    4. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
    5. Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992. "Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 271-287, July.
    6. Gregory, Allan W & Hansen, Bruce E, 1996. "Tests for Cointegration in Models with Regime and Trend Shifts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(3), pages 555-560, August.
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    Cited by:

    1. Hung, Ying-Shu & Lee, Chingnun & Chen, Pei-Fen, 2022. "China’s monetary policy and global stock markets: A new cointegration approach with smoothing structural changes," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 643-666.

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