Threshold autoregressive testing procedures and structural change in cointegrating relationships
The finite-sample properties of threshold autoregressive cointegration tests are examined in the presence of structural changes in cointegrating relationships. It is shown that spurious asymmetric cointegration may be exhibited when there is a change in the degree of cointegration between two series.
Volume (Year): 3 (2005)
Issue (Month): 53 ()
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- Allan w. Gregory & Bruce E. Hansen, 1992.
"residual-Based Tests for Cointegration in Models with Regime Shifts,"
862, Queen's University, Department of Economics.
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- Gregory, Allan W. & Nason, James M. & Watt, David G., 1996. "Testing for structural breaks in cointegrated relationships," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 321-341.
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