Tests for Cointegration in Models with Regime and Trend Shifts
Allan Gregory () and
Bruce Hansen ()
Oxford Bulletin of Economics and Statistics, 1996, vol. 58, issue 3, 555-60
Recently A. W. Gregory and B. E. Hansen (1996) proposed a number of residual-based tests for cointegration models with the possibility of a structural break. They considered three models: level shift, level shift with trend, and regime shift (both level shift and slope coefficients can change). The authors introduce a more general model that permits a trend shift as well as a regime shift and they provide the critical values appropriate for testing this hypothesis. Copyright 1996 by Blackwell Publishing Ltd
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Journal Article: Residual-based tests for cointegration in models with regime shifts (1996)
Software Item: GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks
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