Cointegration and Changes in Regime: The Japanese Consumption Function
Stephen Hall,
Zacharias Psaradakis and
Martin Sola
Journal of Applied Econometrics, 1997, vol. 12, issue 2, 151-68
Abstract:
In this paper we examine a model of cointegration where long-run parameters are subject to switching between several different cointegrating regimes. These shifts are allowed to be governed by the outcome of an unobserved Markov chain with unknown transition probabilities. We illustrate this approach using Japanese data on consumption and disposable income, and find that the data favor a Markov-switching long-run relationship over a standard temporally stable formulation.
Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (53)
Downloads: (external link)
http://qed.econ.queensu.ca:80/jae/1997-v12.2/ Supporting data files and programs (text/html)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:jae:japmet:v:12:y:1997:i:2:p:151-68
Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252
Access Statistics for this article
Journal of Applied Econometrics is currently edited by M. Hashem Pesaran
More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().