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Testing for and dating structural break in smooth time-varying cointegration parameters, with an application to retail gasoline price and crude oil price long-run relationship

Listed author(s):
  • David Neto

    ()

This paper outlines a methodology to test for structural break in a smooth time-varying cointegration model. We show how such a problem can be brought down to the standard procedure proposed by Hansen (J Bus Econ Stat 10:321–335, 1992 ). As an application, we investigate the long-run relationship between the crude oil price and the gasoline retail price for Switzerland. Copyright Springer-Verlag Berlin Heidelberg 2015

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File URL: http://hdl.handle.net/10.1007/s00181-014-0907-6
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Article provided by Springer in its journal Empirical Economics.

Volume (Year): 49 (2015)
Issue (Month): 3 (November)
Pages: 909-928

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Handle: RePEc:spr:empeco:v:49:y:2015:i:3:p:909-928
DOI: 10.1007/s00181-014-0907-6
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Order Information: Web: http://www.springer.com/economics/econometrics/journal/181/PS2

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  4. Jaya Krishnakumar & David Neto, 2009. "Testing Uncovered Interest Rate Parity and Term Structure using Three-Regime Threshold Unit Root VECM," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2009.06, Institut d'Economie et Econométrie, Université de Genève.
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  8. 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.
  9. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
  10. Eiji Kurozumi & Yoichi Arai, 2007. "Efficient estimation and inference in cointegrating regressions with structural change," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 545-575, 07.
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  13. 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.
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  15. Xiao, Zhijie & Phillips, Peter C. B., 2002. "A CUSUM test for cointegration using regression residuals," Journal of Econometrics, Elsevier, vol. 108(1), pages 43-61, May.
  16. Park, Joon Y. & Phillips, Peter C.B., 1988. "Statistical Inference in Regressions with Integrated Processes: Part 1," Econometric Theory, Cambridge University Press, vol. 4(03), pages 468-497, December.
  17. Neto, David, 2012. "Testing and estimating time-varying elasticities of Swiss gasoline demand," Energy Economics, Elsevier, vol. 34(6), pages 1755-1762.
  18. 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.
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  20. Bierens, Herman J., 1997. "Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate," Journal of Econometrics, Elsevier, vol. 81(1), pages 29-64, November.
  21. 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.
  22. Xiao, Zhijie, 2009. "Functional-coefficient cointegration models," Journal of Econometrics, Elsevier, vol. 152(2), pages 81-92, October.
  23. Park, Sung Y. & Zhao, Guochang, 2010. "An estimation of U.S. gasoline demand: A smooth time-varying cointegration approach," Energy Economics, Elsevier, vol. 32(1), pages 110-120, January.
  24. Jaya Krishnakumar & David Neto, 2011. "Testing the ‘Inaction Corridor’ in a Three‐Regime Threshold Error Correction Model with an Application to a Buffer‐Stock Model for US Money Demand," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 40(1-2), pages 29-43, 02.
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