PRACTITIONERS CORNER: Tests for Cointegration in Models with Regime and Trend Shifts

Allan W. Gregory · Bruce E. Hansen

600 citations0/0 files storedOxford Bulletin of Economics and Statistics

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

Abstract

ABSTRACT Recently Gregory and Hansen (1996) proposed a number of residual‐based tests for cointegration in models with the possibility of a structural break. They considered three models: (i) level shift; (ii) level shift with trend; and (iii) regime shift (both level shift and slope coefficients can change). We introduce a more general model that permits a trend shift as well as a regime shift and we provide the critical values appropriate for testing this hypothesis.

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References

1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1987Time Series Regression with a Unit Root 2010Critical Values for Cointegration Tests 1996Residual-based tests for cointegration in models with regime shifts 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1992Tests for Parameter Instability in Regressions with 1(1) Processes 1993Long-Run Economic Relationships: Readings in Cointegration.

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