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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

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  • David Neto

Abstract

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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  • David Neto, 2015. "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," Empirical Economics, Springer, vol. 49(3), pages 909-928, November.
    • Handle: RePEc:spr:empeco:v:49:y:2015:i:3:p:909-928
    DOI: 10.1007/s00181-014-0907-6
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    More about this item

    Keywords

    Smooth time-varying cointegration; Structural break ; FMLS; Score test; FM Wald test; FMLS-based CUSUM test; Crude oil price and retail price of gasoline; C12; C18; Q43;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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