Testing for Structural Change in Cointegrated Relationships: Analysis of Price-Wages Models for Poland and Hungary

Roberto Golinelli and Renzo Orsi

Economic Change and Restructuring, 2000, vol. 33, issue 1-2, 19-51

Abstract: In previous studies concerning short- and long-run relationships for price-wage models, the cointegration analysis has been developed assuming the existence of a unique cointegration parametrisation. These empirical results reveal the presence of significant relationships, both in the short and in the long run, among prices, wages, labour productivity and exchange rate. In this paper we intend to develop the possibility of a more general type of cointegration, allowing for a change at an unknown time period in the sample. At this end we will consider mainly the long-run relationship among these variables using the testing procedure suggested by Gregory and Hansen (1996). This permits us to consider a multivariate extension of the endogenous break univariate approach and, in the meantime, this enables us to test for cointegration in the presence of possible structural breaking cointegrated relationships under the alternative. The empirical analysis of a multivariate model for price-wage relationship both for Poland and Hungary, over the period 1970-96, is presented and discussed. Copyright 2000 by Kluwer Academic Publishers

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://journals.kluweronline.com/issn/0013-0451/contents link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Testing for Structural Change in Cointegrated Relationships. Analysis of price-wages models for Poland and Hungary (1998)
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:kap:ecopln:v:33:y:2000:i:1-2:p:19-51

Ordering information: This journal article can be ordered from
http://www.springer. ... nt/journal/10644/PS2

Access Statistics for this article

Economic Change and Restructuring is currently edited by George Hondroyiannis

More articles in Economic Change and Restructuring from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().