Residual-based tests for cointegration in models with regime shifts

Allan Gregory and Bruce Hansen ()

Journal of Econometrics, 1996, vol. 70, issue 1, 99-126

Date: 1996
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Related works:
Working Paper: Residual-based Tests For Cointegration In Models With Regime Shifts (1992)
Working Paper: Residual-Based Tests for Cointegration in Models with Regime Shifts (1992)
Software Item: GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks
Software Item: RATS programs to replicate results from Gregory and Hansen(1996) JOE article
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:70:y:1996:i:1:p:99-126

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